Yes. It could talk to another smart device and ask it to send its packages. You could be careful and connect none of the smart crap in your house to your network, but the smart fridge in your upstairs neighbor’s kitchen could still be helping with smuggling your data out. Or your devices could be connected to some unsecured network around.

In any case, the only surefire way to stop your data from getting smuggled out is to physically kill all the wireless connectivity capabilities of the device. Disconnect antennae, desolder chips, scrape out pcb traces. Otherwise you’re just hoping the firmware is not doing anything funny. Fortunately I think these are all hypotheticals that have not (yet) been observed in real smart home products.