If your Mac or iPhone or iPad is set to not load remote images, no. No issues.
If your Mac or iPhone or iPad is set to load remote images, then you will have just verified the email address and verified you are willing to access spam and verified that your mail client settings allow tracking, which will make your email address more valuable for further targeting and more valuable for re-sale to other spammers, and (if Private Relay is not enabled) will have shown an IP address and some other mail client data associated with the email address.
And I’d expect most spam and most marketing messages include tracking pixels and/or tracking images.
Apple is taking steps to make this tracking more difficult, but it’s still best to delete spam unread.
For most of us, we’re not the targets for the very expensive spyware that’s around, so a currently-patched iPhone is fine. If, however, you are an investigative journalist, a political dissident or political leader, someone with access to classified data or sensitive data, or have otherwise somehow come to interest someone very rich, your security calculations here can or will differ.