They did some time ago actually.

Like https://nebius.com/about for example.

Not to mention that Yandex been operation in countries outside of Russia under different name from the beginning (like https://en.wikipedia.org/wiki/Yango_(ride_sharing))

Unforytunately, only one founder, Arkady Volozh, is still alive. Ilya Segalovich has died 10 years ago.

It doesn't matter where the company is incorporated -- when Kremlin wants the access to the data Yandex cannot say no. One cannot operate in Russia and not play by Kremlin rules, especially media companies.