Does an iPhone have to be connected to the internet to use iTunes?

It applies to all iPhones made by Apple including the iPhone SE.

Note, there is only once size of iPhone SE.

You can play music that is physically downloaded from the store, or has been synced from a computer to the iPhone without an internet connection.

The actual download to the iPhone will require internet connection. Be it cellular data or Wifi.

The sync from the computer does not require an internet connection at all.

You don't need internet access to listen to music that you've synced or downloaded into the phone's Music app (you would need internet to download music from the iTunes Store app into Music)