Obvious perhaps, in a mathematically idealised system that's idealised according to axioms that are unstated ... a non-equitorial latitudinal line on a sphere is straight.
Consider the degenerate case where you’re ten feet away from the North Pole. You’ll need to go in a tight circle. The situation at more moderate latitudes is the same, just less extreme. It only seems straight because we’re usually at moderate latitudes and the rate of turning is low.
