Hi Marek,
No, unfortunately this is not possible as all resources related to your customer-managed keys (Azure Key Vaults, disk encryption sets, VMs, disks, and snapshots) is required to be in the same subscription and region.
Customer-managed keys rely on managed identities for Azure resources and when you configure customer-managed keys, a managed identity is automatically assigned to your resources under the covers. If you subsequently move the subscription, resource group,
or managed disk from one Azure AD directory to another, the managed identity associated with managed disks is not transferred to the new tenant, so customer-managed keys may no longer work.
Please refer to the
restrictions section of the documentation.