Yes.
Nice short answer. The longer version is that JIRA needs a data store of some sort, and you have to provide that because it cannot know what you want to do. You can use the internal one for an evaluation or test system, and migrate later, but it's not suitable for production, and it really does need a proper database if you're going to use it in production.
But, all you do need is that empty database and a single user with full access to it. You don't need to run any SQL - JIRA creates and populates all the tables it needs without you needing to get involved.
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