Create an event in your custom module app/code/Vendor/Module/etc/events.xml

<event name="customer_address_save_before">
     <observer name="telephone_no_customer_address_model_save_before" instance="Vendor\Module\Observer\Customer\ModelSaveBefore"/>
</event>

Create ModelSaveBefore.php inside Vendor\Module\Observer\Customer

<?php
namespace Vendor\Module\Observer\Customer;

use Magento\Customer\Model\Customer;
use Magento\Customer\Model\CustomerFactory;
use Magento\Framework\Event\Observer;
use Magento\Framework\Event\ObserverInterface;

class ModelSaveBefore implements ObserverInterface
{
    protected $customerFactory;

    public function __construct(CustomerFactory $customerFactory)
    {
        $this->customerFactory = $customerFactory;
    }
    
    public function execute(Observer $observer)
    {
        $customerAddress = $observer->getCustomerAddress();
        $telephone = $customerAddress->getTelephone();
        $customerAddress->setTelephone(preg_replace("/[^a-zA-Z0-9]/", "", $telephone));
    }
}

Run commands accordingly and get your work done

Create an event in your custom module app/code/Vendor/Module/etc/events.xml

<event name="customer_address_save_before">
     <observer name="telephone_no_customer_address_model_save_before" instance="Vendor\Module\Observer\Customer\ModelSaveBefore"/>
</event>

Create ModelSaveBefore.php inside Vendor\Module\Observer\Customer

<?php
namespace Vendor\Module\Observer\Customer;

use Magento\Customer\Model\Customer;
use Magento\Customer\Model\CustomerFactory;
use Magento\Framework\Event\Observer;
use Magento\Framework\Event\ObserverInterface;

class ModelSaveBefore implements ObserverInterface
{
    protected $customerFactory;

    public function __construct(CustomerFactory $customerFactory)
    {
        $this->customerFactory = $customerFactory;
    }
    
    public function execute(Observer $observer)
    {
        $customerAddress = $observer->getCustomerAddress();
        $telephone = $customerAddress->getTelephone();
        $customerAddress->setTelephone(preg_replace("/[^a-zA-Z0-9]/", "", $telephone));
    }
}

Run commands accordingly and get your work done

UPDATE: Using Plugin

Add in etc/di.xml

<config xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:noNamespaceSchemaLocation="../../../../../lib/internal/Magento/Framework/ObjectManager/etc/config.xsd">
    <type name="Vendor\Module\Plugin\Customer\ModelSaveBefore">
        <plugin name="telephone_no_customer_address_model_save_before" type="Magento\Customer\Observer\BeforeAddressSaveObserver" sortOrder="10" disabled="false"  />
    </type>
</config>

Create Vendor\Module\Plugin\Customer\ModelSaveBefore.php

And try below code:

<?php
namespace Vendor\Module\Plugin\Customer;

use Magento\Customer\Observer\BeforeAddressSaveObserver

class ModelSaveBefore 
{
    public function beforeExecute(BeforeAddressSaveObserver $subject, $result)
    {
        $customerAddress = $result->getCustomerAddress();
        $telephone = $customerAddress->getTelephone();
        $customerAddress->setTelephone(preg_replace("/[^a-zA-Z0-9]/", "", $telephone));
        return $result;
    }
}