In all nations, you can hold your bitcoins in your non-custodial wallets and be your own custodian without any issue. Government can not do anything if you store your bitcoins in non-custodial wallets and live with a private and humble life.

They only can know you have bitcoins if you announce about it on social media intentionally or just left some traces that allow them to know your identity. It's depends on your practice and whether you take care of privacy and anonymity with your Bitcoin-related practice as well as other activities online.

You will surely have issues if you use bitcoins for buying, exchanging with the other people or any company when it is illegal in your country but practically around the world, nations and governments ban Bitcoin usage while locals there still invade government bans and use Bitcoin.