This is probably a newbie question, but I installed Windows years ago from CD, DVD, or ISO and never met such a problem. 

I have ISO file with Windows 11 image. I also own the installation key. 

Ask Fusion to create a new virtual machine, drag and drop ISO, create an encryption password, and ready.  For the first run I see the following message from the BIOS:

Does the current Windows installation require access to some network resources? 

Regards,