You have to pass the substitution string separately. If that's really an issue, you might consider passing a closure instead, so that it would read something like:

sub foo {
    my ($massage) = @_;
    local $_ = get_data_from_some_source();
    $massage->();
}

foo(sub { s/(foo|bar|baz)/\U$1/g });
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That may or may not work in your case. The problem you'll run into with passing a string is that you can't use the match variables in it and have them interpolated later - you'd have to do something like

sub foo {
    my ($rx, $subst_e) = @_;
    local $_ = get_data_from_some_source();
    s/$rx/eval $subst_e/ge;
    # short form:
    # s/$rx/$subst_e/gee;
}

foo(qr/(foo|bar|baz)/, '\U$1');
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You must trust the passed arguments in either case (both the closure as well as the string expr passed could do anything).