The basic region drop down menu is set up to select just one region line. But that doesn't mean you are restricted to running reports for just one region by any means!
You can create a custom region that incorporates more than one of the choices. You can create custom regions using the User --> Region Groupings page, which contains further instructions on how to do that.
Also, if you click on "Overlapping Regions" at the bottom of the region drop down list, and then scroll down to see the choices there, you may find that we've already created a custom region that meets your needs.