I set up my Office 365 account some time ago when I was based in UK.
The closest data centre to where my latest app will be used is in Australia, so, without really thinking I just created my Azure SQL DB in that region.
I have now 'moved' (deleted and recreated) the database to the UK region (I know of no way to move the Office 365 account).
Performance seems much better now! My assumption (as this is all transparent) is that best practice is to have your PowerApp and Azure SQL DB hosted in the same data centre, even if your end users will be on the other side of the world.
There are actually two regional centres in the UK but I don't know how I figure out which one is hosting my Office 365 (and therefore PowerApps) account. At least those data centres are only a few hundred miles apart rather than being on opposite sides of the world though!