Data actions can reach out to public endpoints, AWS Lambdas, or Google Functions. There has to be a bridge between one of those types of endpoints and your customer's endpoint.
The documentation gives an example of doing this via lambda and the AWS VPN as you can work with AWS to ensure this is a secure approach.
Another option would be something that runs inside of their network and makes their endpoint publicly accessible, like ngrok. That is a popular tool, but not one that I or Genesys can provide any assurances about.
Finally, if the customer implements the various security options documented here
they can be sure that only the data action service can reach their endpoint, and that the request is being made on behalf of their Genesys Cloud organization: