I seem to remember that the Honeywell T6 Pro Z-Wave comes up a lot when this question is asked. I'm not running Z-wave yet, though, so I can't comment.

I believe there are a few Honeywell models that are Z-Wave, so that'd be fully local. I'm using EcoBee, which does have cloud control, but I've added it to Home Assistant via HomeKit, and that is local control. It's a little annoying because EcoBee doesn't expose it's fan setting via HomeKit, so I can't have HA kick on the fan when the AC isn't running, for example.

I have been extremely satisfied with my Honeywell T6 Z-wave thermostat.

Completely local. No vendor phone apps. No accounts.

https://static.xtremeownage.com/blog/2021/full-local-z-wave-hvac-control/

I have two Centralite HA 3156105 ZigBee ones I use for two zones. They work pretty well. They are the older Centralite units with xfinity markings on them, can be found on eBay for about $15 - $20. Both Z2M and ZHA support it.

I really like my zigbee thermostats and would recommend them not cloud at all. I have not found a tasmota or esphome compatible thermostat. You could make your our with relative ease use a simple relay board. But I don't think that it would look great