The baremetal debug in the gdb stub related picture is not truly bare metal as you already have a gdb stub running on the target. So a minimum amount of setup and interfacing is already done at that time to allow the gdb stub to talk to the rest of the world.
This means that the interface you ask about could be Ethernet or UART or anything that is already set up for the gdb stub to work with. It also means that your system by definition is only partially bare metal.
It is a technically possible but unlikely scenario. If you truly want to go bare metal from the first instruction, you can’t do it as shown, and you have to use a JTAG based probe.