I actually don't see why it's so terrible if I do it offline, air-gapped? Doesn't this directory list ALL potential private keys? It's not as if I'd use page 235 key 15 as my address...my choice would be far more sophisticated than that.
Using directory.io to choose your private key is a horrible idea, regardless of whether you are online or offline. Private keys are only secure if they are randomly generated using a cryptographically secure random number generator. By using directory.io (or any other list of private keys) to select your private keys manually, you are significantly reducing your security because humans are notoriously bad at securely generating random numbers. You as a human do not provide enough entropy to actually choose a random number randomly, which means that whatever private key you choose will be insecure and more likely to be easily brute forced.