Once upon a time, the Sony would have done that. I used my PRS-T1 for quite some time without registering it to the Sony store or for ADE and would just sideload stuff onto the SD card.
I did eventually break down and sign into the Reader Store just to see what it would be like to "shop" directly from the device. But aside from that, it did pretty much work exactly the way you describe.
No idea which non-defunct brands would do it now, though (PocketBook?).
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