It is not as simple as banking - people tend to want low-latency and high-speed connection which necessitate the data center to be in close proximity. Which basically means that founding a country with strong data protection laws somewhere in Antarctic won't get you many clients in Europe.
If the premise is that you want to host data for people in Europe who don't want it to be under the control of the US then Frankfurt is a lower latency place to be than Virginia anyway.
> people tend to want low-latency and high-speed
that might change is privacy is an option. The real problem is the cost of building in the middle of nowhere, even if you use spare Starlink capacity, where do you get power & personnel from?
that's a psyop from the cloud evangelism era. a few hundred milliseconds of latency make fuck all any difference for 95% of things, even voice/video calls.