Yes, I wonder that myself. Data-only SIMS. Apparently it does not always work, varying with network and device. Speak to your network provider about it....it may well be permitted, and straightforward.
Just bypass the setup screens and use wifi. You can leave the SIM card in or you can remove it and put up with the missing SIM message. (The carrier isn't involved unless you set up an account with a carrier, which you don't have to do if you just want a small, pocket-size Android computer.)