I don't know for certain, but I hope not, since there'd be less reason to do so. With the game being turn-based and all, any extra lag that an overseas connection might cause isn't likely to be game-crippling, like it might be in a game like Borderlands 2.
Of course, cross platform multiplayer would've been a nice touch, too, since the turn-based nature means no platform would have an innate advantage because of its control scheme, and they didn't implement that, so who knows?
I'm not sure of the answer to this question myself, but given that XCOM:EU is one of the very few modern games that actually offers a LAN option in MP, I don't think they'll let region locks get in the way of their MP.
"Warriors of fate, you shall dance bravely. Use your golden wings, and fly to the skies. "