Microsoft Azure gives “you” a choice. That is correct, and it will most likely present “you” the nearest datacenter, that is also correct.
But the you here is the initial person who sets up the server in Microsoft Azure.
If Bitwarden.com chose US datacenter then it will be and stay US based until they move servers to another region.
I am from EU and if I lookup vault.bitwarden.com on (https://www.iplocation.net/ip-lookup) It gets resolved to a server in a US based datacenter (San Francisco).
So I highly doubt there is any EU based setup.
A pity.
For those that prefer or are obligated to store data locally, just found following feature request:
Please vote and/or comment if you are interested into non US data storage:
Data Residency - Feature Requests - Bitwarden Community Forums