As you can read in the installation guide,
On device model variants (SKUs) which support being sold as locked devices by carriers, enabling OEM unlocking requires internet access so that the stock OS can check if the device was sold as locked by a carrier.
To avoid telling Google that your home IP just got a new Pixel and is about to flash an alternate OS, you could use a mobile hotspot (no stable IP, and randomizes MAC if on a modern phone). Or put a VPN on your router. Keep in mind Google will know your location.
But in general, you don't need an internet connection to enable OEM unlocking.
The cleanest approach you can take if that's the case is to keep the phone airgapped until you've successfully flashed GrapheneOS. So no SIM, and skip WiFi setup.