Before starting a GIS Analysis project, data (map layers) needs to be obtained. Most often the data exists within the organization managing the data and creating the products. Sometimes data needs to be obtained outside of the organization and can be added to Pro by searching for it on the Internet as a “feature service” (i.e. the Add Data button and choosing the Portal–ArcGIS Online Portal, then searching for data).
However this is done, data needs to be added to the map before any processing can occur (actually, one can do analysis using the tools without adding to a map), but often the analyst wants to see the results and do more work such as other analysis steps or create a map product or web map service.
NOTE: Some feature services that live in ArcGIS Online or in Portal can be quit large and will likely need to be downloaded into a file geodatabase to work with the information more efficiently.
This video shows some options to find and add data to a Pro project.