In short, you can create an UDF using Java SimpleDateFormat. Bear in mind that when converting, you can eventually have to change the day (in case that you also have one field specifically for date)

The code should be something like this:

Calendar calendar = Calendar.getInstance();
calendar.setTime(new Date());
SimpleDateFormat sdf = new SimpleDateFormat("hh:mm:ss.sss X"); //X is the ofrmat you are using at your example

//Initial timezone. 
sdf.setTimeZone(TimeZone.getTimeZone("GMT"));

//Target timezone
sdf.setTimeZone(TimeZone.getTimeZone("CET"));
//Will set CET Timezone
System.out.println(sdf.format(calendar.getTime()));