Approve a device without having another Apple device
This is an iCloud keychain prompt. In order to allow you to sign in to the Mac, you'll need to approve it. If you only have one device on the account then you must have had another apple device in the past that you used to set up keychain. Often times some users will turn keychain on and then realize they don't know what it is or what it does so they turn it off. The moment its turned on, you activate it and it identifies itself with your Apple ID. 

If you don't care about iCloud Keychain, the screen should get you an option to reset iCloud Keychain. It should say "Can't approve from another device". Once you click on that, next it will say "If you can’t approve this Mac from another device, you can reset your end-to-end encrypted data to finish setting up iCloud". That data is your keychain passwords, wifi passwords, Messages saved in iCloud and credit card numbers (more info below). If you don't care that it will erase that information from your account, then have it reset the keychain and it will allow you to continue to the phone setup.

iCloud keychain is a secure management feature that keeps your account names, passwords, Messages in iCloud and even credit card numbers stored behind 256-bit AES encryption on Apple's iCloud servers. Then that data is synced between authorized iOS/iPadOS devices and macOS devices.