The court in question has no obligations to you at all.
OpenAI does, by virtue of doing business in the EU.
They will not be able to avoid the preservation order for EU customers unless the judge modifies the order.
Great, then they should probably not be allowed to do business in the EU, as they're unable to do so in a legal manner.
The current legal stance in the US seems to be that you, not being a US person, have no particular legally protected interest in privacy at all, so you have nothing to complain about here and can’t even sue. The only avenue the EU would have to change that is the diplomatic one, but the Commission does not seem to care.