Most WiFi devices these days are cloud-based, at least on the American market.

If you can find a Zigbee or Z-Wave (or the up-and-coming Thread), those only work locally. The only way to get remote control is to expose HomeAssistant (or a similar hub) to the internet - usually using a VPN from your remote devices into your network.

It’s a bit more upfront work, but no one can track your devices, they’re off grid/much harder to hack remotely, etc.