The IRS rules state that they need to be held by a custodian or they lose IRA status. Choice might say you can self-host if you want but if you get caught it's tough. I dunno.  

"Custodians. All self-directed IRA use custodians to hold your assets, and ensure your account adheres to IRS rules. Banks and other financial institutions are custodians for conventional IRAs, while there are specialized crypto custodians for Bitcoin IRAs."


https://www.forbes.com/advisor/investing/cryptocurrency/bitcoin-ira/