Based on your comments, you might have an XY-problem. What you say you want is sans-serif math for captions. The problem you’re having is that unicode-math supports either range= or version=, but not both together. (There’s a warning about this buried in the manual.)
If that’s what you actually want, load a sans-serif math font with version=, and don’t use range=.
\documentclass{scrartcl}
\usepackage{unicode-math}
\setmainfont{KpRoman}
\setsansfont{KpSans}
\setmonofont{KpMono}
\setmathfont{KpMath-Regular}
\setmathfont{KpMath-Bold}[version=bold]
\setmathfont{KpMath-Sans}[version=sans]
\addtokomafont{disposition}{\mathversion{sans}}
\begin{document}
\section*{Isn’t (\mathbb{R}^3) Wonderful?}
Truly, (\mathbb{R}^3) is.
\end{document}

Unfortunately, you’re not spoiled for choice when it comes to sans-serif math fonts.
It’s trivial to define \sansversion analogous to \boldversion, and you can also adapt the \boldsymbol code from amsbsy.sty to a \sanssymbol command if you need to be able to switch to sans-serif math within an expression. Otherwise, set the formatting of captions and whatever else you want to be sans-serif to \sffamily\mathversion{sans}.
If you already knew this and you were just asking how you can change the Greek letters in your math font, without using range=, one way to do that would be to define a new \setmathfontface or math version= that selects your alternative Greek font.
\documentclass{article}
\tracinglostchars=2
\usepackage[math-style=ISO]{unicode-math}
\defaultfontfeatures{Scale=MatchLowercase}
\setmainfont{EBGaramond}[Scale=1.0]
\setsansfont{KpSans}
\setmonofont{KpMono}
\setmathfont{Garamond-Math}
\setmathfont{KpMath-Sans}[version=sans]
\setmathfontface{\altgreek}{GFS Olga}
\newcommand\altGamma{\altgreek{\mupGamma}}
\newcommand\altzeta{\altgreek{\mupzeta}}
\begin{document}
Truly, (\altGamma(\altzeta)) is wonderful.
\end{document}

\setmathfontexample worked for me in LuaLaTeX on TeX Live 2020. – Davislor Feb 12 '21 at 02:57range=it/{Greek,greek}, which forces you to use\mathitif you actually do want slanted Greek math letters. – Davislor Feb 12 '21 at 02:59version=sansserifoption for another math font, and this interacts badly with therangeoption. So, apparently, I cannot have bothrangeandversionin the same document. Too bad – Massimo Feb 12 '21 at 08:07unicode-mathmanual. You can, however, select a sans-serif math font withoutversion=(Fira Math or KPMath-Sans`). – Davislor Feb 12 '21 at 08:57version=withoutrange=.\setmathfont{KpMath-Regular.otf}\setmathfont[version=bold]{KpMath-Bold.otf}\setmathfont[version=sans]{KpMath-Sans.otf}– Davislor Feb 12 '21 at 19:12