By following this setup all your mail traffic would go directly to Zoho while your other services can be pointed to your droplet(s). I use this configuration myself for a couple domains. I am not aware however if there is information available on what countries Zoho stores data in and I would recommend reaching out to the Zoho team here with that question in order to get the most accurate answer.

I did reach out to Zoho and ask - they have an office in the country of question but do not store mail on servers there. Thanks for the assist!