I want to create a website without any third party requests (no external fonts, maps, analytics, social plugins, cookies etc.).
Are there any themes, which by default create a website without third party requests?
A nice tool to check what third party requests a website does, I discovered here
https://webbkoll.dataskydd.net/en
Is something wrong with my question?
I don’t think so.
Maybe nobody on this forum knows the answer, or has not (won’t have?) the time to inspect all the available themes to look for what you’re looking for.
Humbly suggesting that you get a look into the themes and get back here to tell us what you’ve found.
Mirroring Nicolas’ sentiment, I doubt anyone knows that much about the themes. Not only are there many, but they are changing all the time.
But the good news is, themes are super easy to modify, the theme authors will often provide guidance and answer questions, and removing external requests from themes is a time-honored tradition. So just pick a theme you like and rip it out! 
You probably don’t want this theme, but it is pretty secure: https://github.com/kaushalmodi/hugo-bare-min-theme
As for the “third-party” accesses, they actually happen only to my other github repos and to Netlify-served images via cloudfront (which I am white-listing in the CSP headers).
You can take this theme as a base and add more stuff to it, prettify it, etc.
I use this theme for the test site of my ox-hugo project: https://ox-hugo.scripter.co/test/
Just the theme doesn’t make your site third-party-access-safe. You also need to set the relevant headers. I do so here.
Security Check Reports:
No, nothing is wrong with your question.
I’m one of the people who review Hugo Theme submissions on GitHub.
But let me tell you, besides 2-3 really solid Hugo themes that I reviewed everything else is a blur.
There are a lot of themes in the repo and we do not have a tag for the ones that have “enhanced” privacy.
I would have to check out the Hugo Themes repo locally to answer your question and at the moment I’m swamped with other work.
Thanks, for all the answers.
My hope was, that as a result of GDPR, there are some privacy oriented themes.
I discovered only this blog entry (in german language)
https://www.arminhanisch.de/2018/06/hugo-themes-installieren/
in which the author linked to his enhanced privacy theme.
https://gitlab.com/DerLinkshaender/purismo-theme/
Here is a Hugo theme with zero 3rd party requests and no JS. Also it has IndieWeb features: https://github.com/AngeloStavrow/indigo
It is not yet added to the Hugo website but hopefully it will be added as soon as a minor detail is addressed see: https://github.com/gohugoio/hugoThemes/issues/442#issuecomment-429530098