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 Another reason (besides privacy) to use foreign (anonymous) data sim card is that it just works better. It will connect to more (usually all) networks that have coverage. People with local sim cards often complain that their operator does not have some coverage. I always have coverage, because I'm in roaming and I connect to any network available. 
 Great advice, coverage has been better for me as well. Any tips on how to get anonymous SIM cards in a simple way at a reasonable price ? 
 Great point.   What's your recommended one for South America country hops? 
 In Europe, bitrefill esims work great. You can buy them with lightning with cheap data.

Keepgo.com has European and also foreign esims, they only support onchain bitcoin though.

Or Czech prepaid sim cards (kaktus, o2,...) are also good.

In no case will anyone ask you for your identity.