My answer here is just for the history:
az provider list --query "[?namespace=='Microsoft.Resources'].[resourceTypes[?resourceType=='resourceGroups'].locations[]][][]"
The output:
[
"Central US",
"East Asia",
"Southeast Asia",
"East US",
"East US 2",
"West US",
"West US 2",
"North Central US",
"South Central US",
"West Central US",
"North Europe",
"West Europe",
"Japan East",
"Japan West",
"Brazil South",
"Australia Southeast",
"Australia East",
"West India",
"South India",
"Central India",
"Canada Central",
"Canada East",
"UK South",
"UK West",
"Korea Central",
"Korea South",
"France Central",
"South Africa North",
"UAE North",
"Australia Central",
"Switzerland North",
"Germany West Central",
"Norway East",
"West US 3",
"Sweden Central"
]
To pass these regions to the az group create
command just remove spaces and lowercase.