Where are iCloud servers located - where is my data stored?

There's no way to tell, and definitely no way to insist on any data sovereignty with Apple. The only option for that would be to not use iCloud at all and instead maintain a known Canadian-only cloud service (or your own using a NAS or something similar).

On the other hand, Apple is fairly well regarded for data privacy and security, and if you have modern enough devices you can used Advanced Data Protection, which will make it impossible for anyone except you to ever access you data (and also you if you lose or forget the credentials).

It is technically possible to move away from any cloud and opt for a decentralized approach with data just stored on the devices you own, in case you desire to do so. In that case, you will also lose other iCloud benefits.

My understanding is that Apple's servers are located all over the world. That distributes the risk-- my work in Dallas will not be destroyed by flooding in Quebec, since the data may also be stored in Copenhagen. As for Texas servers, you can always tell, because data that's been through there have little longhorns attached. Data through Austin, however, will instead have little music notes and sound like Willie Nelson…

Not funny at all.