No, it's not true that if $X$ is a rigid $K$-space and $U\subseteq X$ is open, that $Z:=X-U$ can be given the structure of an adic space (let alone a rigid $K$-space) such that the tautological map $i\colon Z\to X$ of topological spaces upgrades to a morphism of adic spaces.
The issue is that morphisms of analytic adic spaces (note any adic space over $X$ is analytic as $X$ is) are generalizing. Namely, suppose that $f\colon Y\to X$ is a morphism of analytic adic spaces. Then, [Huber, Lemma 1.1.10] shows that for any $y$ in $Y$ with $x=f(y)$ the equality $f(G_Y(y))=G_X(x)$ holds. Here $G_S(s)$ denotes the set of generalizations of the point $s$ in the space $S$.
So, if $i\colon Z\to X$ could be upgraded to a map of adic spaces, then $Z$ would be need to be generalizing: if $z\in Z$ then we'd have that $Z\supseteq i(G_Z(z))=G_X(z)$. Equivalently, we would have to have that $U\subseteq X$ is a so-called overconvergent (aka partially proper, aka Berkovich) open subset. This just means that $U$ is closed under specializations. Note that this is quite restrictive. For instance, if $U\to X$ is quasi-compact then $U$ is actually clopen (e.g., apply [Fujiwara--Kato, Chapter 0, Corollary 2.2.27]).
So, let's consider a concrete example conforming to your stated interests. Let $\mathcal{X}=\mathbb{A}^1_{k[[t]]}$, and let $\widehat{\mathcal{X}}$ be its $t$-adic completion. Then, as per usual (e.g., see [Huber, §1.9]) we have an open embedding $\widehat{\mathcal{X}}_\eta\hookrightarrow \mathcal{X}_\eta^\mathrm{an}$. In this case this concretely corresponds to the open embedding $\mathbb{D}^1_{k((t))}\hookrightarrow\mathbb{A}^{1,\mathrm{an}}_{k((t))}$. The complement of this open embedding does not have the structure of an adic space as $\mathbb{D}^1_{k((t))}$ is not an overconvergent open in $\mathbb{A}^{1,\mathrm{an}}_{k((t))}$. One no-thinking way to see this based off what I said above: this inclusion is quasi-compact but the image is not closed. More concretely, this open subset is not closed under specialization since its image is missing the 'outward facing Type 5 point' around the Gauss point (I am using terminology from [Scholze, Example 2.20]).
So, what to do? There are two options:
(1) one can try to utilize Huber's theory of pseudo-adic spaces (see [Huber]) which essentially tries to develop the geometry of (certain) subsets of an adic space even when they do not themselves possess the structure of an adic space,
(2) when $Z\subseteq X$ is generalizing, there is always a diamond $Z^\lozenge$ (in the sense of [Scholze2]) and a map $Z^\lozenge\to X^\lozenge$ recovers the map $Z\to X$ on topological spaces. Namely, one takes $Z^\lozenge:=X\times_{|X|}|Z|$, with notation as in [AGLR, §2.1].
EDIT: Given my impression of your interests, it may be worth noting that the (etale topos of the) pseudo-adic space of $Z$ does form the closed complement of the open subtopos $U_\mathrm{et}\subseteq X_\mathrm{et}$ (e.g., see [Huber, Lemma 2.3.11]). I would guess this is enough for your purposes.
References:
[Fujiwara--Kato] Fujiwara, K. and Kato, F., 2018. Foundations of rigid geometry I.
[Huber] Huber, R., 2013. Étale cohomology of rigid analytic varieties and adic spaces (Vol. 30). Springer.
[Scholze] Scholze, P., 2012. Perfectoid spaces. Publications mathématiques de l'IHÉS, 116(1), pp.245-313.
[Scholze2] Scholze, P., 2017. Étale cohomology of diamonds. arXiv preprint arXiv:1709.07343.