No local SIM will cover all of your countries cheaply, they will all switch to roaming when you exit the country of purchase. And roaming is no cheaper in SE Asia than elsewhere. It is financially better to get a pre-paid SIM in each country as you go.
Not sure of rules in other countries, but in Thailand you need to show your passport when you get a new SIM, as it is required to register the owner of the SIM. Thailand is mostly 3G data, but some pockets of 4G in bigger cities and some 2G still in rural areas.
Credit:stackoverflow.com‘