An HSM can be:
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A networked hardware appliance like the Thales Luna
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A locally running piece of software on a server, like SoftHSM or kryoptic
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A PCI card or USB device (e.g. YubiHSM)
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A cloud service or cloud managed device
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A docker/podman container (NitroKey has one: NetHSM)
Note NitroKey is not AWS Nitro, that is just a name clash
Your bankcard could be viewed as an HSM... maybe.
If you have a modern computer or laptop, you could have a TPM (Trusted Platform Module) inside it, these have a lot in common with an HSM.