Adding to hardillb's answer... I don't know exactly what device you have, but you could consider the simple workaround of an external keyboard. If your devices have USB / microUSB port, you can get a single keyboard relatively cheap that you can plug in long enough to set up the WiFi connection.
If the devices don't have USB, you could also attempt pairing ...
Yes, it's a perfectly valid approach that is used by many different IoT devices.
One I've implemented more than once, bur here is an example that uses WebBluetooth so you don't even need a native client on the phone/laptop (but you do need Chrome)
Have you had a look at the following?
With this you can use your laptop to connect to the built in Access Point to do the initial configuration. Has a touch screen interface, and can do MQTT.
EDIT: This thermostat does not require a cloud server to be able to access it remotely. It has a web interface that can be used to review the data,...