How to modify the timezone options list?

I have a date range field in a paragraph which is set to allow setting the timezone. Can someone suggest how I can alter the list of options used to select the TZ?

For the user profile form a simple form_alter exposes the timezone field options but when trying to alter the paragraph form I only see the timezone value already set as #date_timezone.

Possibly I can override the class used to build this list?

I could do this with JS without too much effort; but not the correct approach.

You can do that by using HOOK_form_alter and altering the widget of the field:

HOOK_form_alter(&$form, FormStateInterface $form_state, $form_id) {

  // Check for your target entity form.
  // Replace 'your_entity_type' and 'your_entity_bundle' with your entity type and bundle.
  if (strpos($form_id, 'your_entity_type_your_entity_bundle') !== FALSE) {

    // Define the custom timezone options.
    $customTimezones = [
      'America/New_York' => 'America/New_York',
      'America/Los_Angeles' => 'America/Los_Angeles',
      'Europe/London' => 'Europe/London',
    ];

    foreach (array_keys($form['your_paragraph_field']['widget']) as $index) {

      // Check if the index is numeric, which indicates a paragraph item.
      if (is_numeric($index)) {

        // Alter the timezone options of the date range field.
        $form['PARAGRAPH_FIELD']['widget'][$index]['subform']['DATE_RANGE_FIELD']['timezone']['#options'] = $custom_timezones;
      }
    }
  }
}