It doesn't need to be related. Actualy it's recomended that both rom and kernel share the same code (KH4 in both for example), or the closest possible. If you install a 2.3.6 kernel in a 2.3.5 rom, it might not work properly or not work at all. It doesn't need to be a rom or a kernel specifically for your country either (although some might have a bit issue with GPS or 3G if you're from a different continent where the rom was made).
You can pick any 2.3.6 rom, but I recommend the KL1 Open Europe in case you wanna try the official Samsung rom which is clean and crap free (by crap I mean all those useless apps carriers tend to install). Once installed, you can then try any other custom rom based on the KL1 (I recommend RetuRnROM, Turkbey, Criskelo).
Although, there's a slight possibility your phone's not fully compatible with 2.3.6. If so, you might experiment one or several of the next syntoms: sudden loss of phone signal and/or 3G (sometimes they get back quickly, others you might need to reboot your phone), random reboots, random notifications of Kernel Panic. Check how your phone works, and if you get any of these and gets annoying, you might need to go back to 2.3.5. The possibility is small but it's happened, it happened to me for example..