That is the intended functionality for the module. It is designed to find the closest locations to the user, which may or may not be in the same region that the user is. (For example, if a user searches for Kansas City, Kansas, it should also find a location in Kansas City, Missouri, even though they're different states).
There isn't any built-in way to do what you're wanting, right now. A workaround could be to use Location Types, but, you're right, there isn't a drop down list of location types you could display. If you wanted to do that, you'd have to create a drop down or list of links, that would take you to a module setup for that specific Location Type/region.
I'll add some enhancement suggestions to allow users to filter by location type, and to consider having an option to limit by region.
Hope that helps,