In most tax jurisdictions, you declare taxes on your worldwide income. Although you might pay $0 to the Cayman Islands, you will likely end up needing to pay tax to your own country (depending on the exact tax rules for foreign income). This can be complicated, and you will likely need an accountant to help you with your tax return. You might be able to get away with evading your taxes, but I wouldn't recommend trying.
Secondly, there are costs associated with incorporating in the Cayman Islands. You might need local directors ($x by 10k per year?). The Cayman Islands does not want small business owners - their target market is huge funds not risky scammers. Minimum fees for professionals are eye-watering. If anything goes wrong, you could be bankrupted by process.
This area is something you pay an specialised foreign investment accountant to get advice about. If you are not already using a suitable accountant, then you most likely shouldn’t touch the idea. The fact you are asking HN is a strong signal to me that you have no idea what you are doing.
Finally, the reason the investors use the Cayman Islands are because (1) taxation only occurs in the country of the investor which simplifies everything for investors, and (2) it is a known legal risk that large investors have familiarity with, so investors don’t need to investigate expensive tax and legal implications because they usually already understand the risks.