Assuming Android: Aegis

2FAS which seems recommended for data privacy.

By whom?

There is a discussion in the Privacy Guides forum on 2FAS that you might want to read.

Also, you don't specify which platform you're using. As @I_Am_Jacks_____@lemmings.world mentioned, Aegis for Android is great. For iOS, the pull request to include ente Auth in the Privacy Guides recommendation page for authenticator apps is already merged. It will reflect on the live website once the Privacy Guides team decides to release v3.17 of the site.

Proton Pass has a 2fa option built in

As long as you aren't backing up your tokens to the cloud they're all going to be functionally equivalent in terms of your data privacy outside of intentionally malicious apps. I mean that in the sense that no authenticator app should be sending your tokens anywhere on the internet. Use common sense when it comes to installing Google or Microsoft's authenticator apps.

If you like syncing across devices, Bitwarden (paid) or Proton Pass. If you already use Bitwarden and don't like the idea of having passwords and 2FA in the same place, just make a second Bitwarden account.

Thanks guys ! Didn't know that Bitwarden and PP had 2FA options !