What happens when I change the region on my new phone? What happens to all my apps, data. Items on phone?

If you are changing the region in Settings->General->Language & Region ->Region, then nothing happens to your apps or data or any items on your iPhone. They remain just as you are. Note, that this will not affect the country or region used for iTunes & App Stores.

If you are actually changing your region for your Apple ID rather than your iPhone as shown here: link-> Change your Apple ID country or region - Apple Support

Then you must cancel all subscriptions, clear any account balance, and any purchases not downloaded to the device may no longer be accessible. Installed Apps will remain installed on any device and continue to work normally however.