Why are Azure Resource Groups associated with a specific region?

The main reason for specifying the location of a resource group is to specify a location for data/metadata for the deployment to be stored in... It also makes the API consistent (think of the paths in REST API calls) but the primary reason is storage during deployment.

The location of the resources in the group is independent/not related to the location of the group itself.

The meta data (definition) of the Azure resource group needs to be stored somewhere. hence the location. However, resources inside a resource group are location independent and can be placed in a different region\location. Do note that dependencies between resources can exist. A Virtual machine in West Europe obviously needs a storage account in West Europe as well, but a SQL database in the same resource group can exist in West US.

When creating a resource group, you need to provide a location for that resource group. You may be wondering, "Why does a resource group need a location? And, if the resources can have different locations than the resource group, why does the resource group location matter at all?" The resource group stores metadata about the resources. Therefore, when you specify a location for the resource group, you are specifying where that metadata is stored. For compliance reasons, you may need to ensure that your data is stored in a particular region.

https://docs.microsoft.com/en-us/azure/azure-resource-manager/resource-group-overview