There is no way to change your PUBG server directly from the game. The only way around it is to switch your VPN server (connect to a different one). Players change servers in PUBG for several reasons. Server switching can boost your ranking and also helps you to open crates. Sometimes your regional geo-Blocking technology may also detect your VPN and restrict your IP. When it does, you may need to change your server to an unblocked location to continue accessing the game. Finally, you may need to change your server location to improve your connection speed. The server in Location A may be faster than in Location B. However, you would need to find a location that gives you the best speed. Carry out a speed test on a site like speedtest.net to see which VPN server gives you the best. Mostly, the closer a server you are connecting to is to your real location, the better speed you will have.