Sonicwall local users authenication

I’m currently testing Cisco duo and would like to setup Cisco Duo with our Sonicwall NSA firewall.

The users on our firewall are only local accounts.

Can Cisco duo support local users for authenication or would it need to use AD or radius?

I have setup DUO on all our SonicWall devices for both administration and for GVC client access. However I have only done this by using RADIUS users and not local users. To do this you need at least one DUO RADIUS Proxy server setup in your organisation which is pretty easy to do.
Depending on the SonicOS version you are running you could use the SonicWall OTP options for local users.