Yes, Shelly products can also be operated without their own WLAN.
Although the integration into your own WLAN is probably the standard procedure.
However, in addition to the WIFI MODE CLIENT (for integration into your own WLAN), the devices also provide the WIFI MODE ACCESS POINT (AP). In this case, the Shelly spans its own WLAN as an access point.
Without the Internet access, the functionality is usually limited.