There are no "the Lemmy servers", since there is no central "Lemmy" organization to host and run such servers.
So yeah, you can run it on whatever you can find that has available disk space, CPU cycles, and an Internet connection. Hosted VPS, colocated hardware server, raspberry pi, your gaming rig, AWS containers, whatever.
Or, to put it in a simple one-liner: Instances are servers.
However you would set up any other server, you set up a Lemmy instance. There is no central datacenter as there would be with a corporate-owned site like Reddit.
Think of it like a bunch of little messages board sites and they automatically import posts from other message board sites - because that’s exactly what it is.
While that’s a bit different to navigate than what we are used to, an instance (aka a server) going down or becoming hostile and being defederated only removes that one server from the network.
It’s similar to how IRC networks function; except with those, the server owners decide what servers they link up with. With Lemmy (and other ActivityPub based services), the users decide (by subscribing). Instance admins can block (“defederate”) other instances though.