Answer

According to MS resources,

The Microsoft Entra multifactor authentication service has datacenters in the United States, Europe, and Asia Pacific. The following activities originate from the regional datacenters except where noted:

• Multifactor authentication SMS and phone calls originate from datacenters in the customer's region and are routed by global providers. These providers may route the SMS or phone call outside of the user and company location. Phone calls using custom greetings always originate from data centers in the United States.

• General purpose user authentication requests from other regions are currently processed based on the user's location.
• Push notifications that use the Microsoft Authenticator app are currently processed in regional datacenters based on the user's location. Vendor-specific device services, such as Apple Push Notification Service or Google Firebase Cloud Messaging, might be outside the user's location.

There's no guarantee of consistent text message or voice-based multifactor authentication prompt delivery by the same number. In the interest of our users, we may add or remove short codes at any time as we make route adjustments to improve text message deliverability.

This means that even if your tenant is located in Europe, the telephony provider Microsoft uses may route the call through infrastructure outside Europe, including the U.S. This is especially true for:

• Phone calls using custom greetings, which always originate from U.S. datacenters.
• Standard phone calls, which are intended to originate regionally, but may be routed internationally depending on the provider's network.

So, while Microsoft does aim to keep authentication traffic regional, telephony routing is not guaranteed to stay within Europe due to the nature of global telecom networks.

For more detailed information, you can search online for:

-Data residency and customer data for Microsoft Entra multifactor authentication

-Frequently asked questions about Microsoft Entra multifactor authentication