There is no way. Roku devices require confirming an Internet connection the first time they connect to a network. It's been a complaint for a number of years with no change.
There is a workaround. A Roku device that has connected successfully to a network will reconnect again the next time the device is powered on. So the way to trick it is to use the same network connection name. This is called the SSID in the access point. Perhaps you can use a phone hotspot and name it the same as your home network. Also, the password must be the same as well. Connect to the first network, then power off the Roku. Now take it back to the home network without Internet and power it on. As long as the SSID and password are the same, it will reconnect to your home network, without checking for Internet access.
Note that this trick only works as long as the Roku hasn't connected to a completely different network in the meantime. While the device will remember passwords for multiple networks, if you switch from one network to another it will again test for Internet access and fail if it doesn't find it. So if you take your Roku from home, connect it elsewhere (like a hotel network), then return home, it will again fail to connect to your home network.
Dan
Roku Community Streaming Expert
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