Why not host in east asia? Or southeast asia? Or south america? Or africa? Then you avoid both the government with incentive to spy on you (assuming you live in the EU) and american companies.
If anything the EU puts limits on what EU member countries and companies can do. By hosting in one of the EU countries you have stronger legal guarantees on data privacy than in any other area. A possible exception is Switzerland (not a EU member), which historically has had even stronger privacy laws, though these have been weakened recently IIRC.
You do not seem to understand what the EU is. It is not a country, it does not have a police or anything like the NSA.