Unlike other games, PUBG does not let a user to change region/server in-game which means if your are playing on Europe server, you will be stuck on it whether it gives you the appropriate ping and latency. That's a drawback of this game. But it does not mean you can't change server in PUBG (PlayerUnknown's Battlegrounds).
The only way to do so is by using the right VPN. A normal VPN is not made for gaming purpose. Using a wrong VPN for games may let you change your in-game server location but drastically decreases your ping and latency.
Below is the most appropriate VPN service for PUBG which is recommended by many professional players.
Exitlag is VPN service dedicated for Gamers. It has various features to reduce ping and improve latecncy and also FPS.
As someone living in South East Asia (SEA), when playing on europe server I would get around 170ms. But when I used Exitlag, it decreased ping to 120ms which is very significant difference. The best thing about ExitLag is that it lets you switch across all available servers in PUBG e.g EU, SEA, Korea, Asia etc.
Changing the server in PUBG lets you have a better ping. Also, the combat style of players across the servers is different. Some play aggressive while others play defensive.