I'm pretty sure that in this case the data will still go via your machine.

I was assuming that OP wants to run the SCP script on one of the servers, and wrote my examples based on this assumption. Thank you for your reply, and making the critical advice about setting up the passwordless authentication - this should always be step 1.

Still, you are making another assumption - it's possible that the task OP is trying to solve is caused by the fact that both servers don't have network access to each other. A good example (of a very bad practice) would be copying production data to a test environment, when the security rules prohibit direct network access between production and development. In such cases, traffic usually goes through the workstation of some unfortunate sysadmin. Not that I've ever seen it happen. It's so good that security policies are never violated in IT. ;)