It has no sim, so it probable has no internet connection
You might be surprised to learn that your phone can report on its location using Find My.....even if the phone has been powered off. This assumes that there is still some charge left on the battery of course and that there is at least another iPhone in close proximity to your phone to forward the intermittent Bluetooth signal that your phone is sending out.
If the phone cannot connect using cellular, it can still connect using Wi-Fi and also via Bluetooth.
I have marked is Lost but is still pending.
The phone will not be able to confirm that it is in Lost Mode until it has a good solid Internet connection. That would mean that the phone must be connected to Wi-Fi, since it cannot connect using cellular.
How do i make sure the theft wont get access to my data/photos if he decides to connect it to a personal computer?
You did set up a Passcode on your phone, correct? There is no way that anyone could ever guess your passcode in less than 10 tries before the phone locks out and will not even allow any more log on attempts. It does not matter whether the phone is connected to a computer or not.
Please read through the Apple Support document below for more information:
Find your lost iPhone or iPad - Apple Support
Unfortunately, the chances that a stolen phone can ever be recovered are just a tiny fraction above zero, so you have to realistic about things here.