You are concerned with the wrong question, namely whether you have to disclose how you obtained these articles.
The question you should be asking is whether it is ethical and legal to use what Sci-Hub offers. Regardless of one's position on the commercial publishing model used in the sciences today, the legal answer is that these journals own the copyright to these articles, and that they make them available for a fee to universities and others willing to pay. Sci-Hub doesdo not own the copyright, and violate copyright laws by making articles available for free. It is likely not legal (perhaps depending on the country you're in) to download all of these articles.
So what you propose is to use a data set you cannot legally own when downloaded from Sci-Hub. This is no different from analyzing the painting technique on a Picasso a friend of yours stole: It is certainly not ethical to attempt to publish data obtained from this data set. Whether you can conceal this fact from reviewers should not be your first thought.