You would not want to have a source on a tube amp that is not hooked up to any speaker blasting away so that the amp is trying to output high power but has no load on it. But, if it is just sitting there with nothing playing, it is okay not to have a speaker hooked up to the amp.
But why? Don't worry so much about burn in. Hook it up and enjoy music while it is supposedly burning in. I think it is crazy wasting a substantial portion of the life a tube to a burn in phase that does not involve listening and enjoying the amp.