[taneq]

Well, in Europe maybe. And only if a game character and items in their game count as your data. (IIRC there was actually something in the license agreement about all characters remaining property of Blizzard.)

[lokedhs]

The GDPR is about personal information. That is your name, address, email, IP address that you used to connect with, etc.

So yes, they can keep your character, but they have to delete anything that can link that character to you.