This does the job in a single pass of each file.

The basic mechanism is to use vec to build bitvectors from your regions file, where the bit is set if it is between a start/end pair for this chromosome. Then as each line of your loci file is read, the position can be looked up directly in the bitvector for that chromosome.

It requires minimal memory and is very fast:

#! perl -slw
use strict;
use Inline::Files;

my %sticks;
while( my( $chr, $start, $end ) = split ' ', <REGION> ) {
    vec( $sticks{ $chr } //='', $_, 1 ) = 1 for $start .. $end;
}

while( <LOCI> ) {
    chomp;
    my( $chr, $pos, @rest ) = split ' ', $_;
    print if vec( $sticks{ $chr}, $pos, 1 );
}


__DATA__
__LOCI__
1 10
1 20
1 30
1 40
1 50
1 60
1 70
1 80
1 90
1 100
2 10
2 20
2 30
2 40
2 50
2 60
2 70
2 80
2 90
2 100
__REGION__
1  25 35
1  45 55
1  65 75
1  85 95
2  5 15
2  35 45
3  55 65
2  75 85
__OUTPUT__
C:\test>981656
1 30
1 50
1 70
1 90
2 10
2 40
2 80
[download]

An inspired solution, and an intro to a new feature for me.

“++”ed

I just wanted to say thanks for your help. I used this method and it works great! Here's my code in case anyone is interested:

#!/usr/bin/perl

=intro
Loci File Filter

This program will accept as input one file of genome loci (such as a V
+CF file)
and one BED file of regions, filtering the loci file to include only t
+he loci
in the regions specified in the BED file. The program should be invoke
+d with
two arguments: first the name of the BED file, then the name of the lo
+ci file.

Specifications:
Both files should be whitespace-delimited 
   The loci file should have at least 2 columns
      column 1 is the chromosome number
      column 2 is the coordinate of the locus
         any (optional) extra columns will be kept in the output file
   The BED file has exactly 3 columns
      column 1 is the chromosome number
      column 2 is the start coordinate
         the start coordinate itself is excluded i.e. output begins fr
+om start coordinate + 1
      column 3 is the end coordinate
         the end coordinate itself is included
Both files may have header/comment lines beginning with a '#' characte
+r
   These lines in the loci file are always included in the output file
+ in their entirety
Both files may or may not have the letters 'chr' before the chromosome
+ number
Both files should be sorted by coordinate, but chromosome order may di
+ffer between files
=cut

# Get input filenames on program invocation:
die "give the BED and loci (VCF) filenames as invocation arguments"
  unless @ARGV == 2;
my ( $bed, $loci ) = @ARGV;

# Check order of filenames given on invocation is correct:
my ($ext) = $bed =~ /(\.[^.]+)$/;    # get the file extension (should 
+be '.bed')
if ( $ext ne '.bed' ) {
    die "please enter the BED filename *first*, followed by the loci f
+ilename";
}

# Get 2 input and 1 output filehandles:
open my $bed_file,  '<', "$bed"  or die "cannot open BED file: $!\n";
open my $loci_file, '<', "$loci" or die "cannot open loci file: $!\n";
open my $out_file, '>', "$loci.filtered_loci"
  or die "cannot open output file: $!\n";

# Build a hash structure from the BED file. Each coordinate between th
+e start and
# the end coordinates is given a true value (i.e. 1); everything else 
+is excluded:
my %sticks;
while (<$bed_file>) {
    chomp;
    next if /^#/;   # skip lines beginning with '#'

    my ( $bed_chr, $bed_start, $bed_end ) = split(/\s+/);
    $bed_chr =~ s/\D*(\d+)/$1/;    # remove 'chr' (should it exist)

    foreach my $coord ( ( $bed_start + 1 ) .. $bed_end ) {
        vec( $sticks{$bed_chr} //= '', $coord, 1 ) = 1;
    }
}

# Run through each line of the loci file:
while (<$loci_file>) {
    chomp;

    # keep lines beginning with '#':
    if (/^#/) {
        print $out_file "$_\n";
        next;    # go immediately to next line in the loci file
    }

    # of the remaining lines, only keep those that have a 'true' entry
+ in the BED file hash:
    my ( $loci_chr, $loci_pos ) = split(/\s+/);    # ignore extra colu
+mns
    $loci_chr =~ s/\D*(\d+)/$1/;    # remove 'chr' (should it exist)

    if ( vec( $sticks{$loci_chr}, $loci_pos, 1 ) ) {
        print $out_file "$_\n";
    }
}
[download]

Is it prohibitively expensive to pull your data set into a database and do SQL queries on it? Your 'loci' file could probably be placed directly into a table with no additions. Your region file would probably need an ID column that is unique, and auto-incrementing. You could then "SELECT min_pos, max_pos FROM region WHERE id=0000001;". Next, "SELECT * FROM loci WHERE pos < ? AND pos > ?;", and execute with your bind values of $min_pos and $max_pos.

I usually get SQL wrong on the first try, so you would need to craft your own. But this type of approach gives you the full power of a relational database. The biggest problem would be the time it takes to populate the database. That may be an issue.

Through the magic of DBI you can still enjoy the pleasure of using Perl in your solution. And through the deep magic of DBIx::Class and DBIx::Class::Schema::Loader, you could even get away with not having to worry about the SQL.

If the dataset is short-lived enough that it proves to be prohibitively expensive to pull it all into a database, this entire post becomes just a filler between your question and the next post that provides a 100% Perl approach. ;)

That being said, how long does it actually take you to do what you want using a nested loop? You could try to incorporate map which may give you modest savings vs a for loop.