How do I signify an off board connection in Altium?
As the commments say, generally you should not do this. It's better to just connect all the GND pins together on your board.

If you must do this, for example because you're making a 1 layer board and signal integrity is not critical or not all GPIO pins are used, you will just have to do it manually. Start working on your schematic and figure out which GND pins are convenient to connect and which aren't. Then go back to the schematic and disconnect the ones that you don't want to have connected in the layout.