There are whole bunch of things you can do to mitigate the risk, and whole bunch of other variables regarding the network environment that you're setting it up

There are whole bunch of things you can do to mitigate the risk, and whole bunch of other variables regarding the network environment that you're setting it up in. The network behind that NAT might be compromised, and depending on the operating system there may be ports open by default that could be compromised before you can close them or there could be some other remote vulnerability. I remember about a decade ago having a Windows box that I was wiping/restoring for a family member infected with Blaster after its first reboot before all of the system updates were finished downloading. Something with a good reputation for security, like a clean OpenBSD install with no ports open, is unlikely to get hit on its first round of updates. Even so, if you're going to go through all of the hassle to set up an airgapped system anyways, why bother taking the risk?