Session does not collect any geolocation data, metadata, or any other data about the device or network you are using, and there's also no requirement to use a phone number or email address to make an account. Your display name can be anything you want, it's entirely up to you.
Messages are end-to-end encrypted and use onion requests to ensure the message contents are only seen by the sender and recipient of the message. For more on Session’s secure message routing, you can read What is an onion routing network?