Depends what your threat model is, if you absolutely want no data about you whatsoever possibly leaving the device because it endangers you then Tails OS is probably the most private distro out there as others have mentioned, but it’s use case is specifically to be used for very private stuff and working through a live USB stick so that nothing remains on the device.

For the average person any distro is a huge improvement privacy wise over Windows, though Ubuntu does have ties to Amazon since it’s owned by Canonical, so if there’s any Linux distro you should avoid for privacy reasons it’s Ubuntu. It’s still incomparably private relative to Windows, but you have nothing to lose and a lot to gain by choosing other alternatives, Mint is just as easy and user friendly as Ubuntu without most of the bloat and Amazon crap.