I need to programmatically find the current region (e.g \"West US\" or \"East US\") where my current role is running. Is there any API to find this?
Consider using Get Cloud Service in the service management API. When you supply the service that your roles are a part of, you can retrieve a response similar to the following. Note the location field that I've starred.
hosted-service-url
hosted-service-name
description
name-of-affinity-group
**location-of-service **
current-status-of-service
creation-date-of-service
last-modification-date-of-service
name-of-property
value-of-property
type-of-guest-agent
thumbprint-of-winrm-certificate