How do I create a loopback adapter for Parallels VMs?
If you are using Shared Networking for your Parallels VM, there is an IP address allocated for the host OSX machine as well as the VM. By default, shared machines use the 10.211.55.x subnet, and 10.211.55.2 is the host. You can use this IP to access the OSX host from your Windows VM. This subnet can be adjusted in Parallels Preferences:



If you check the box Show in System Preferences, you will see the host IP:


Shared networking is independent of the LAN that the host machine uses, so it can be used while disconnected from a network.

An additional networking type is Host-Only, which  will work similarly, though with a different subnet: 10.37.129.x. By default, host-only disallows connectivity from your VM to the external network.

The 3rd networking type is Bridged, which will use your network adapter (ethernet or WiFi) directly, so this networking type will not work for the setup you are asking for.

For reference - here is a description of the networking modes that Parallels uses.