The only time I’ve used celery in a similar way is in stuffing during Thanksgiving. In those occasions, we do start the dish on the stove, before sticking it in the oven to bake and crisp up at the end, but the stock probably saves the celery from drying out.
I would say in this case, probably no need to bake before hand. I thought celery was mostly water anyway, so I can imagine that baking doesn’t add much, other than to dry it out and make the fibrous-nature more pronounced, and also take away some of the nice crunchy texture.
