The ranking from this article on bank secrecy probably still applies:
Low Secrecy
United States
Medium Secrecy
Australia, Britain, Canada, Ireland, Italy, Japan, Jersey, numerous other Commonwealth countries including India, Malaysia, and Singapore, and the Scandinavian countries
Quite High Secrecy
Denmark, France, and Germany
High Secrecy
Austria, Greece, Liechtenstein, Luxembourg, Portugal, and Switzerland (some cantons only)
It's not so black-and-white. Users have control over whether OpenAI can be initiated via Siri. It's not automatic. You can bet that Apple would not compromise their famous privacy stance by just "hopping in bed" with a provider. That provider will be held to some pretty high standards.