I don't know how small GSM is today but I know that ten years ago the smallest widely available wifi module was around 100 times larger and 10 times costlier than today. So it migh become feasible in the future. There are other radio communication protocols as well.
Discussion
You can definitely include a GSM chip for cheap, but now the device board actually looks visually different, which people can identify, even if admittedly relatively few would. Still, if you did this en-masse it’d likely be discovered before too long, whereas a malicious firmware likely would not.