Because it's small. The same way I could use "South America" for Uruguay, or "Eastern Europe" for Slovakia, but "China" for China, and "Russia" for Russia.
- The app is a local VPN so your data doesn't leave your device, except for their DNS feature.
- Cyprus is in the EU, so it's not what most people would think of as the "Middle East". The boundaries of the Middle East are man-made, not natural, and Cyprus is often considered closer to Europe these days.
- There may be concerns regarding certain states in the region, but implying "Middle East" is a pejorative is a bit crass.
TBH I'm more worried about AdGuard's Russian connections, though an AdGuard developer offered reassurances above.
If you're going to raise concerns about AdGuard, at least make them accurate.