Moulin Rouge was written and directed by an Australian, Baz Luhrmann. Nicole Kidman is Australian. So are a number of the actors in it and most of the designers and crew. So I would not rush to call it a Hollywood film...I think some of the producers hail from Hollywood, but that's more about financing and distribution than the production.

you make a good point in saying one would have to be pedantic to say films not made in Hollywood cannot be called Hollywood films. Many   Hollywood films shoot in exotic locations around the world.