I would say there's no centralized exchange that won't share their data with foreign governments, if they reject the request, they will likely to get shutdown or the coins would be declared as illegal.
Just like exch reject request by Bybit to freeze certain address, now many people and institutions are against exch.
I think that most people will find this a bad idea.
But I do wonder which centralized exchanges are the best ones for privacy. Maybe there is one with a location in Dubai, for example.
I know that there is DEX, but I don't have any experience with it and I am likely to make mistakes.
Like what mistakes? there's tutorial if you want to use it
1.
https://docs.bisq.network/getting-started.html2.
https://planb.network/en/tutorials/exchange/peer-to-peer/robosats-b60e4f7c-533a-4295-9f6d-5368152e8c06