Dynamics 365 data is replicated four times. The original copy and a real-time replica are kept on the primary site. Two additional near real-time replicas are located in a secondary site within the same geo-location. Microsoft also holds copies out-site of your geo for extreme measures.
Some data processing might also be stored in other geo-locations, depending on the services used. Not all SaaS offerings are available in all geographical data centers, for example, machine learning is available in limited locations. Visit this site to understand feature availability across the different geographical centers: