You need a blockchain with certain completeness properties. It's just a technical requirement, not some partiality towards Ethereum in particular.
The gas fees required for an identity creation are tiny, I think it was maybe $0.20 or so the last time I did it.
I'm happy to take care of the tiny gas payment if you don't hold Ether. There's an option at the end of the toy identity wizard to send me the transaction file that was created and I can record it on-chain.
FYI, the technical specs (which among other things explain why a blockchain is needed) are here 👇
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