The files sit in Hetzner's object storage in Nuremberg, and the database on the FrameJet server at the same location. The provider, KoperaLabs, is based in Germany.
Rendering runs on the server in Nuremberg. Under heavy load, more servers join for a short time, and only in Falkenstein or Helsinki: The program limits the choice to these three locations.
At startup, FrameJet checks the storage endpoint. If it is not with an EU provider or on the own network, the application does not start. That is a safeguard against configuration mistakes, not a certificate.