Pretty sure most hosting platforms have egress costs on their cheaper VM instances.
I know Google cloud charges for bandwidth to AUS, and Oracle is 10TB of egress per month before charging (which I think is the most generous of free/cheap hosting platforms).
Nifty thing is you absolutely can do that if you're using SharePoint shortcuts in OneDrive instead of SharePoint library syncing.
You can't use both syncing and shortcuts at the same time though. Syncing libraries came first, so it's typically what is already setup and is kind of a pain to transfer a whole org away from.