Sort of yes, but it’s not really as important as it seems.
The shorter the line, the faster the load, but only by a few milliseconds. If your site were hosted in the UK, and you are in the UK, your site would load a millisecond or two faster for you than it would if it were hosted in the USA.
With that said, the web is a world-wide thing. What your UK visitors gain in speed by moving the hosting to the UK, your USA visitors will lose, and similar across the globe.
What I mean to say by all this is that you should go with the hosting provider you like, not just the one that’s close to you, because your audience can be global and not just local. What benefits one locale, won’t benefit another, so it’s really not that important.
If the benefits of a local server are still of interest to you, add a cloud proxy like https://www.cloudflare.com/ on top of your preferred hosting service.