Yes! you can change server in PUBG LITE without any VPN or third party App.
In order to change server in Pubg lite you have to follow this simple and easy step.
1- Just goto to World Chat
2- Choose the second option (Flag icon)
3- Now join Aisa or Europe with your choice and then you can play with other people on that server or may leave the team. After leaving the team your server will be automatically changed to your desired server.