A fake pussy can’t hurt you, but you can hurt yourself. You can damage your playthings too, so be careful. If you masturbate without enough lube, you could cause irritation on your skin.
Furthermore, unclean sex dolls are notorious for causing infections. And allergic reactions aren’t rare if you don’t know your skin type.
So, use great lube generously, stay clean, and follow the directions in your user’s manual when cleaning and storing your stuff.