Can we have a single Application Gateway for all VMSS created in different regions? If yes please share the possible options.
As the comment mentioned, we could not have a single Application gateway for all VMSS created in a different region since Application Gateway is always deployed in a virtual network subnet and it directly supports to deploy the VMSS as the backends in the same region and virtual network as the Application gateway.
As a workaround, you could use a public IP address as the backend for communicating with instances outside of the virtual network as long as there is IP connectivity. Read more details about backend pools. So you may use a public-facing load balancer associated with the VMSS.
Furthermore, you also could use Traffic Manager to distribute traffic across multiple Application Gateways in different datacenters. Or use Azure Front Door Service provides a scalable and secure entry point for fast delivery of your global web applications.