No, it's not true. Consider the map $x\mapsto x^2$ as a map from $X=\mathbb A^1-\{0\}$ to itself. The "problem" is that Zariski neighborhoods are too big. *Any* open subset of $X$ has exactly one irreducible component (in general, an open subset cannot have more components than the ambient space), so there is no hope to get the preimage of an open set to have two components.

However, if you refine your topology to allow "etale open neighborhoods" (i.e. you allow pullback by etale maps $U\to X$, not just open immersions $U\to X$), then the answer is yes. Perhaps the easiest way to prove that is to pull back by $\pi$ itself, after which you can "peel off" the diagonal component of $Y\times_X Y$. Now you have a finite etale map $(Y\times_X Y -\Delta)\to Y$ which has degree one less. Repeat until the degree is $1$, at which point you have an etale map $U\to \cdots \to Y\to X$ so that $Y\times_X U$ is $deg(\pi)$ copies of $U$.