Unreal Engine doesn't support web builds anymore, so I don't think this is possible. I share your scepticism when it comes to playing random games off the Internet, but I think itch.io's desktop app is a nice tool to help alleviate some of those concerns. It creates a sort of sandbox and runs as a separate user to prevent most issues that would be problematic. There's some information here if you're interested:
https://itch.io/docs/itch/using/sandbox.html
Alternatively if you're on Windows Pro you can use the OS's built-in sandbox feature. Other operating system have similar features. These are all slightly inconvenient, so I fully understand if you don't want to invest the extra time.