Hi @Ananya Sarkar ,
As per this Azure document, we can't change ASG (Application Security Group) location. If interested, you may share it as a feature request in this uservoice or feedback forum. In general, Azure feature team would check business need and feasibility of a feature request, prioritize against existing feature backlog, add in roadmap as appropriate and would announce and/or update the related Azure document once a feature request is addressed.