Yes, in general you'd use an air-gapped system that is specifically used for analysis (and not your daily machine for writing reports etc.).
There are many methods: Use a Virtual Machine, run the analysis OS from read-only media, run the analysis OS on write-blocked media, or re-image the analysis machine after use. What you use will depend greatly on the resources available to you, and your technical knowledge.
An easy way is to boot from a Linux CD or similar to do the analysis (disconnect physical drives and network interface devices if you feel that would be necessary).
If you're concerned about remote connectivity via cellular network, contain the modem inside anything that can serve as a Faraday cage to block the signal.
Finally, cellular modems are pretty cheap these days compared to the cost of your time required to analyze it. If you suspect it is compromised, and your objective is to have a good, working cellular modem, consider just buying a new one.