Is it possible to store Always Encrypted master key an on-premises key vault? I want to store the master key in a centralize key vault and have IIS access the key from there. I know I can use Azure Key Vault or local Windows key store, but I was looking for another option to have it outside the server.

Are there any on-premises centralized key vault solutions that can store Always Encrypted master key?
It's always safe to store the Keys in Centralize key vault rather than any on-premises.

For your case, you can try to create your own Custom Keystore provider