The app creation process starts with selecting the data source of your app. You can create an app from a spreadsheet you have stored locally on your PC.
Your source file will not be uploaded at this step to the Microsoft Azure Europe based Cloud. This process takes place in the last step of the app creation. Your file is inaccessible to third parties at any time!
In the next step, you are able to Drag & Drop your file into the specified field (Drop Excel File Here) or click on the "Choose File" option.
You will find further information on how to upload a file from your computer in this article: https://openasapp.zendesk.com/hc/en-us/articles/208230289