Yes, but you could still construct it in orbit. Imagine building four quadrants, spooning them together for launch, then fusing ("cold welding") them into a sphere in space.
And what weighs more - the air that got trapped in the sphere when we made it, or the machine we sent up to space to assemble a sphere there?
Cold weld it in space, it's not that difficult with some engineering.
Space X?
This is pretty well guaranteed.