Is there any chance that there can be a download game option on web made or exe file or anything to be able to install and play the game without running steam?
Yes, if you download the game from GoG. This either requires, that you purchase GD directly from them, or if you purchased it via this website, then ask Humble Support to switch you to GoG - see https://support.humblebundle.com/hc/en-us/articles/218109617-Grim-Dawn-FAQ-The-Humble-Bundle-Edition- > “Where is my DRM-Free copy of Grim Dawn?” for directions.
If you have been using Steam cloud saves, then make sure to save your data locally before your GD Steam key is invalidated. Please note that there is hardly any GD multiplayer community amongst the GoG customers.
That sounds like an interesting way of playing the expansion early access (IF it exists) on Steam to later abandon it and switch to a GOG licence.
Or you buy GD on GOG, it currently is 50% off 
I already have it on GOG, but if there is an early access it will be only on Steam 