Do you have to have an iPhone to use the watch?

Apple provides the following specifications on the page Apple Watch Ultra - Apple

• Apple Watch Ultra, Apple Watch Series 8, and Apple Watch SE require an iPhone 8 or later with iOS 16 or later.

Yes.

No. Watch requires an iPhone for setup.

Anderp79 wrote:

Could I use an IPad pro for set up? I don’t need phone connectivity on the watch?

No. An iphone is required.