No, because by processing EU personally identifiable information a non EU company becomes a data controller / processor as defined by GDPR and has to comply with its requirements including data subject rights, such as the right to access, rectification or deletion.
Well, they can still tell you to kick rocks obviously, in which case you could report this to your EU regulator as empowered by the GDPR. If a regulator decides action is necessary this would follow the sanctions as set out in GDPR (maximum of 10 million or 4% gross worldwide annual turnover).