i would go with having a hidden sheet blank or with a simple message -"Data is being updated"

Private Sub Workbook_Open()
    Application.ScreenUpdating = False
    With Worksheets("Blank")
        .Visible = xlSheetVisible
        .Select
        'run query
        .Visible = xlSheetVeryHidden
        Worksheets("data").Select
    End With
    Application.ScreenUpdating = True
End Sub