I would say it depends on the routing done between your (home) gsm provider and their (foriegn) roaming partners.

Option 1: From an engineering perspective, it is easier and simpler to just issue you with the foreign partner IP address and have you connect to the Internet (locally through their PoP)

Option 2: From a business point of view, it is better to route your packets back to your home country such that you connect to the Internet through the remote (home gateway); that way they can justify charging you hefty roaming fees ;-)

Even more crafty would be to have Option1 (easier) but charge you as if you are using Option 2 (more profits).

Personally I have no idea which option they implement though. GSM traffic tends to go through alot of  black boxes unlike traditional ISP traffic. Would be nice to hear from the 'horses' mouth; the GSM techies themselves (assuming they can talk :-)

walu.