That's a good question. In the current version (1.4.7) of Baldi's Fun New School Remastered, you are automatically connected to what Photon (the service I use for multiplayer) thinks is the best server in your area, which is why this is occurring and your friend is being connected to a different server than the one you're being connected to.

As that version of BFNSR came out before I added the ability to switch your server region in BFNSPUE's multiplayer implementation, you'll have to wait until I release the 1.4.8 update of BFNSR BFNSR2, which will add the ability to switch your server region before connecting to the Discussion Area as a new feature in the sequel's version of the Discussion Area from BFNSR1.