These are regional resources - so they are held in a specific region, but I was able to do a quick test:
- Created an IP Group in Canada
- Confirmed, I could add the IP Group to my Azure Firewall in Australia East.
Although, technically - it seems to be possible - you run the risk of issues happening in the IP Group region, and causing issues, such as not being able to make changes or firewall rules not working if the region with the IP group goes down. Very low likelihood, but worth mentioning.