Global virtual network peering will enable you to peer virtual networks belonging to different Azure regions. Previously through virtual network peering, you could only peer virtual networks belonging to the same region. With this preview, you'll be able to set up a peering connection across different regions, thereby enabling a variety of scenarios. Some examples include disaster recovery, database failover, and data replication through private IPs. Global virtual network peering will enable a low latency, direct connection between virtual machines belonging to different virtual networks in different regions. The traffic will be completely private—no internet will be involved, and it will be completely restricted to the Microsoft backbone. In addition, there won't be any bandwidth limitations that come into play with global virtual network peering, except those determined by your virtual machine size. To get started, visit our Global peering webpage.
Source: Azure Roadmap