I was able to create data transfer in GCP UI from bucket in europe-west3 location to BigQuery dataset which is also located in europe-west3 zone.
When I try to do the same with bq mk --transfer_config ... command, I get an error:
BigQuery error in mk operation: BigQuery Data Transfer Service does not yet support location: europe-west3
Where does this difference come from?

gcloud config listshowszone = europe-west3-a. - Juri KrainjukovBigQuery Data Transfer Service does not yet support location: europe-west3. As I understand It complains about bucket or dataset zone. - Juri Krainjukov