Would a dna testing company based on Europe offer better data/privacy protection?
In the UK you can walk into a lot of hospitals IT room and just plug stuff in without noticing.
So no, basically nobody will protect your privacy other than yourself(which oftentimes is not possible).
The main difference is that it's a little bit harder for private big tech to get access to your data, so if that is your concern you will have a little bit better protection there.
However it's worth noting that even though German is considered one of the countries with the toughest data protection laws, they're not actually enforced for public institutions and that the current health ministry has been pushing hard to make unanonymized data available to insurance companies.