Intellij AI Assistant - Self Host in Azure Cloud?

A project I'm working with has raised concerns about the data provided to support AI Assistant integration, whilst at the same time would like to make use of AI with the IDE. Specifically around what data is shared and the geographic location of storage (data must not leave the UK)  

• Can the supporting Large Language Models be self hosted?
• What options are there in a secure Azure Cloud hosted environment to obtain in IDE AI assistance?

Thanks in advance for any response.

Mat.