gpg: WARNING: unsafe ownership on homedir /home/USER/.gnupg

Let's look a moment at what this command is doing (simplified for the illustration)

curl … | sudo gpg … -o /usr/share/keyrings/githubcli-archive-keyring.gpg

The curl part goes off and gets something we are going to give to gpg; no problem there.

The sudo gpg command runs gpg as root, but with an unchanged HOME directory. When gpg runs it checks $HOME/.gpg for ownership and permissions. In this case it is running as root but finds that instead of the directory being owned by root it's being owned by USER. Appropriately it complains, loudly

gpg: WARNING: unsafe ownership on homedir '/home/USER/.gnupg'

You mentioned that you cannot omit the sudo, and I would assume this is because you need root permissions to write to /usr/share/keyrings/. The solution in this case may be to tell sudo to change the HOME directory value to match the root user

sudo -H gpg --dearmor -o /usr/share/keyrings/githubcli-archive-keyring.gpg

The documentation (man sudo) explains,

-H, --set-home Request that the security policy set the HOME environment variable to the home directory specified by the target user's password database entry.

Another option is to run gpg without sudo and write the key to your own HOME directory, and then use sudo to move it to the target directory

gpg --dearmor -o githubcli-archive-keyring.gpg &&
    sudo mv -f githubcli-archive-keyring.gpg /usr/share/keyrings/