There are two methods for playing Import Mega/Sega CDs on a UK Mega CD – one rather fiddlier than the other.
The easiest method is to get hold of a Datel CDX Cartridge which you pop in the cartridge slot before loading the CD up. However, there are a few revisions of the cartridge and it can be hard to find the later versions that work with the Mega CD 2. However, if you have a Mega CD 1, this would be your best bet.
For the second method, you’ll need a PC with a CD Writer. If you follow this guide, you can burn your own copy of your own game in the region you require.