From what I've seen on nostr:npub1rxysxnjkhrmqd3ey73dp9n5y5yvyzcs64acc9g0k2epcpwwyya4spvhnp8 video about the wallet, it is non-custodial. You can get your seed phrase on it. And it's also open source, so you can check it by yourself
Discussion
I did, and the only thing you need to regenerate the wallet on another device is your proton login (email and pass). So they are holding the key somehow.