I know my question sounds weird and probably the simple answer is "No". However, given that the list of good and useful things which the Application Insights SDK does, I was wondering if there is a way to make it log to something on-prem like a key-value pair database running on-prem.
Eventflow might do the trick. https://github.com/Azure/diagnostics-eventflow
It supports Application Insights as input and outputs like ElasticSearch, any Http etc. So you could host ES locally/on-prem, use Application Insights SDK to collect data, send it to Eventflow, and have it sent to local/on-prem ES cluster.
Or Alternatively, you can implement your own ITelemetryChannel
to send data to any targets.
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