That's simply not possible.
Because that would mean transfering all of you character data from one server on one end of the world to a server on the other end of the world every time you open that drop down menu.

Quote Originally Posted by Scratches View Post
Data Centers house servers/shards/"worlds" (they're all the same thing). One "world" can only exist in one data center at any given time.
There is no possible way that you can, say, connect to Balmung (a Japanese server, in a Japanese data center) whilst only communicating with a NA or EU data center, as if there were a real-time, updating "copy" of Balmung on it. It doesn't (can't) work like that.
If you want the benefits of using a regional server, then you'll have to either re-roll anew or transfer one of your existing characters to the new "Honey Boo Boo" server (the names of the new shards, obviously, have not been finalized yet).

In short: you cannot have your cake and eat it too. Square does not know how to bypass the laws of physics.
This explains it quite nicely.