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I am considering getting the Cygnar starter set, but I am not excited about the idea of pinning. Is it possible to build these figures without pinning them?(not asking about best practice, just if it is possible or not)

I've built 3 different battleboxes (Cryx, and two Menoth ones) and never had to drill a single pin-hole. I'm not sure if this applies to Cygnar or not, but I would imagine so.

Something I discovered that is easier than pinning, but still provides a very strong bond is to use Greenstuff and superglue together. I hate pinning too and only do it when absolutely necessary. So far the only PP thing I've ever pinned has been the Mauler extreme just because that thing is so friggin heavy!

I use a small amount of greenstuff rolled into a ball + a small dab of superglue at each of the joins. Then you just press the two pieces together. I've found that doing this really gives the greenstuff an easy time of drying correctly, as the superglue mostly holds the pieces in place while the greenstuff dries overnight. It also makes for a super strong bond. Dropped my Slayer once before priming it and nothing happened at all.

Putty helps avoid pinning.

It is possible, the most vulnerable pieces would be jack arms, but those can be glued without pinning.

Another good alternative is epoxy glue, tho it can be a little messy.

I didn't have to do any pinning with my brand-new Cygnar Battlegroup. Only the Ironclad might be hard to glue to it's base without pinning.

the metal ironclad has some very large contact areas. if you use a knife to carefully cut some texture into the surfaces that will be glued and dab a small bit of green stuff on there just before you glue they should stay very firm.
you can use the same technique for the lancer and charger but i think i would pin the shield and the heads of those just to be sure.