We study the effect of spatially correlated noise on coherence resonance (CR) in a Watts-Strogatz small-world network of Fitz Hugh-Nagumo neurons, where the noise correlation decays exponentially with distance between neurons. It is found that CR is considerably improved just by a small fraction of long-range connections for an intermediate coupling strength. For other coupling strengths, an abrupt change in CR occurs following the drastic fracture of the clustered structures in the network. Our study shows that spatially correlated noise plays a significant role in the phenomenon of CR reinforcing the role of the clustered structure of the system.