Edit: it has been pointed out to me that I failed to properly read the question. My answer applies to the ordinary sum and product, but does not apply to the “natural” sum and product, which is what the question was about. Please see the answer of @lonza leggiera. However, since the answer is still interesting, I will leave it up.
There are a few major flaws in this.
First, the addition and multiplication operations are not commutative. This means that the Grothendieck completion does not apply, since Grothendieck completion requires a commutative monoid.
We can try a more general version of the construction. The Grothendieck completion is the left adjoint of the forgetful functor $AbGroup \to AbMonoid$. We can try instead the left adjoint $F$ of the forgetful functor $U : Group \to Monoid$. Unfortunately, this will produce the zero group.
To see why, consider that we would have some monoid homomorphism $\eta_{On} : On \to U(F(On))$. Fix an ordinal $\alpha$. We can find some ordinal $\beta$ such that $\alpha + \beta = \beta$; specifically, take the smallest infinite $\beta$ such that $|\alpha| < |\beta|$. Then $\eta_{On}(\alpha) + \eta_{On}(\beta) = \eta_{On}(\beta)$, so $\eta_{On}(\alpha) = 0$. So all the elements of $On$ are sent to $0$. So $\eta_{On}$ factors through the subgroup inclusion $0 \to F(On)$, which means $F(On)$ is the zero group.
Of course, the fact that multiplication is also not commutative (nor is it distributive) means that even if you could get off the ground with constructing a group which contains the ordinals as a submonoid under addition, you would have to rework the ring part of the construction.