LAN with PUN

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Hi! I am very new to Photon (or networking in general), I am trying to build multiplayer FPS and stuck at one thing.

User launch the game and join a Master Server (which I have set to Photon Cloud -> Asia) and enters into a lobby, there user can either create a room or can join existing room from the list of available rooms.

When user creates a room, he/she gets very high ping(depending on the cloud server) but in other games, like COD, when user creates a game he/she gets the lowest ping because he/she is the master server (not sure about that) .

So my problem is do I have to make the users to run the Photon-OnPremise-Server-SDK then connect to the CurrentIP from GameServerIP Config Tab? when in other multiplayer games you don't switch master server you just create a game and you get the lowest ping because of the distance from the server, but this is not the case in Photon.

I hope I have made myself very clear and I will be very glad if someone helps me out with this.