Azure Firewall operates in a single VNET.
Azure Firewall is a regional service.
Yes. Vnet1: Same VNET and same region.
No. Vnet2: Same Resource Group but different VNET and different region. Must be in the same region.
No. Vnet3: Different VNET, different region. Must be in the same region.
No. Vnet4: Different VNET, same region.
Reference:
https://docs.microsoft.com/en-us/azure/architecture/networking/guide/well-architected-framework-azure-firewall