Confirmed.

I just tried this by creating an Org file on a Debian server (I run OpenSUSE
with TexLive 2021). From looking at the `*Org Preview LaTeX Output*' buffer, it
appears that the temp file is created on my local machine, and then the process
is called on the remote machine.

┌────
│ This is pdfTeX, Version 3.14159265-2.6-1.40.19 (TeX Live 2019/dev/Debian) (preloaded format=latex)
│  restricted \write18 enabled.
│ entering extended mode
│ ! I can't find file `/tmp/orgtexToEnS4.tex'.
└────

Having a look at `org-create-formula-image', I suspect this is due to the
`make-temp-name' call at
<https://git.savannah.gnu.org/cgit/emacs/org-mode.git/tree/lisp/org.el#n16521>.
Perhaps `tramp-make-tramp-temp-name' could be useful?

All the best,
Timothy