It used to be a sneaky button, but last time I installed there was no way to do it without disconnecting from the Internet. If you're connected, you are not presented an option to create a local account, even in a way that's hard to find.

Last time I did it, the trick was to begin logging in or creating a new online account (forget which way), and from there you could actually change your mind and create a local account.

It looks like they removed it from Home but not Pro.

https://i.imgur.com/vxs03rC.png

Another difference: Cortana talks you through the installation on Home but not Pro. After years of installing Pro that was a bit of a shock.