Roku needs some sort of network connection to work.
If you don't have WiFi/internet generally in your property, then you maybe able to share your phone connection to create a wifi hotspot that Roku can use. This will chew through phone battery and your phone data plan so not entirely recommended. If you don't want a phone/cable/fibre internet connection contract then maybe get a 4g/5g home broadband router device with appropriate data plan to cover streaming.
Not a Roku employee