If you use auto-provisioning for ASC agents, you can redirect collection of some data (collected by the agents from VMs, AKS) to a non-default ALA workspace that you can create in a region of your choice.
Certain Azure services do not enable the customer to specify the region where the service will be deployed. These services may store or process customer data in any Microsoft datacenter unless otherwise specified:
Azure Security Center, which may store a copy of security-related customer data, collected from or associated with a customer resource (such as virtual machine or Azure AD tenant):
in the same Geo as that resource, except in those Geos where Microsoft has yet to deploy Security Center, in which case a copy of such data will be stored in the United States; and
where Security Center uses another Microsoft Online Service to process such data, it may store such data in accordance with the geolocation rules of that other Online Service.