I think there needs to be a way to add the transaction (with cost) at just before the paper wallets creation?
Yes, since the wallet neither buys nor sells, it has no effect on the tax.
Perhaps you can simply have your paper wallet loaded with an income transaction on the paper wallet, which, I think, automatically values the coins at the time of the transaction as if you bought them.
I could not find definitions of what the transaction types actually do, so I still have to guess and test a little bit.