You can assemble the rings on the pistons dry and then install them on a dry bore but...this should only be done on engines that have been bored and honed with a superfine finish like 600 or finer.
Why you ask.
The theory is this, on an engine the first few strokes up and down the bore before the engine starts is the break-in and compression in the cylinder will condense water in the air and form a lubricating film, actually this is how most oiless air compressors operate although they use carbon rings in this application. After the engine starts 90% of the break-in is already accomplished and oil slung off the crank will immediately lubricate the bore.
Should I do it?
Not unless you are intimate and confident that the engine was assembled perfectly and the bores are perfectly round (honed with torque plates) and the finish on the bores is very fine and absolutely clean.
Does 4 Jaw do it?
What are you nuts? Not on your life although I did this regularly on two stroke racing snowmobile and dirt bike engines (the oil is in the fuel!). I have seen instances where dry bores and dry rings have picked up and galled the bores after only a few minutes of running using this procedure especially with cast iron rings. Chrome-moly and straight chrome rings/bores are much more forgiving in this regard.
Why do people do it?
You got me, I think it is because they like to roll the dice and tempt the engine Gods because they think they are such great engine builders. Me, I like to appease them whenever I can and I say a little prayer whenever I start an engine for the first time. The engine can break-in slowly for all I care, it's a lot safer.
I use STP on every piston/ring because of the high pressure additives, it's good enough for an air cooled aircraft engine it's good enough for me. I do wipe off the excess mind you. Just because some guy says he does it how do you know he didn't at least give the rings a shot of WD-40 before he installed them. The BS can get thick at times.
Be careful out there.
“She may not look like much, but she's got it where it counts, kid. I've made a lot of special modifications myself.”
— Han Solo