Whatever my distaste for how Bluesky orders and organizes their data, for their use case and their implementation it _doesn't matter_ that it is stored in the US and will provide better performance for what they are going for.
There's a time a place and scenario under which storing data in the US is a problem, but you're going to need to explain exactly what your threat model is that leads you to think that friggin BlueSky being stored in the US is a problem.