It seems like there is no way to skip setup, if you've never complete the first setup.
If you have say 5 smart phones, 5 tablets, you really don't want to have to reset, pair 10 times, Just so you can unlock twinkly on all your devices.
Also if you want to control Twinkly on your PC (android on bluestack). It may not be possible to complete first time setup. The only way you can get this to work on some PC is if you can skip first time setup.