The answer to your question: You need to insert your SSD into the computer before internet recovery. If you start the recovery before inserting SSD, it won’t affect the setup, you won’t damage anything. But your SSD will not be detected (as there isn’t one inserted.)

Also, a little tip: If you bought a used SSD, go into Disk Utility and format the drive with the highest security level to permanently remove all of the previous files.

Also a FYI: Internet Recovery will load up Mac OS X 10.9.5 Mavericks, so I would recommend making a recovery drive from a Big Sur (or desired version) through another Mac, and a USB. You can visit this support doc: https://support.apple.com/en-us/HT201372

Hope this helps! -Dan