No, you must pair the dongle to the headset before first use.
Check out: Wyze Wireless Gaming Headset Setup Guide.
In order to pair your USB dongle to Wyze Wireless Gaming Headset, press the power button on the headset 5 times to enter USB dongle pairing mode. Then, plug your dongle into the USB port of the device you’re trying to connect to.
You will know the dongle has successfully paired once the headset beeps and the status light above the multi-function button turns solid white.