Maybe I'm just imagining this, but I seem to recall hearing about abandoned missile silos being used for datacenters, as well.
Anyway, their big mistake was putting it in an EU country. IIRC, Iceland has robust information freedom guarantees, if you want someplace that's still reasonably well governed. But, there have got to be lots of places where governments would look the other way, as long as you know whose pockets to line. And, of course, there are always places like Russia, Iran, and North Korea.