I'm in the US so I guess North America.
For this issue, I remember there used to be more options for the Authentication method, not just WindowsWithoutImpersonation.
I try to install last version of personal gateway and test with r script(3.5.1), but they all works. Maybe you can open a support ticket for better support.
My data are stored on 'west central US'.(you can find it on click on power bi service-> about)
I think the problem might have to do with mash up data source. I got my data from Oracle database then transform it using R script. Then Power BI might be asking for the credential of my Oracle database while I'm supplying it with R credential. I remember there used to be more option for authentication method. Not sure why there is only one option now. @v-shex-msft