My (former) thesis advisor, Barry Mazur, has only a PhD. In fact, according to Stephen Krantz's Mathematical Apocrypha Redux, he does not have a high school diploma either, having left Bronx High School of Science after his junior year to attend MIT.
The story is that he had not completed an ROTC requirement at MIT but had already been accepted for graduate school at Princeton. Princeton was not insistent that this requirement be completed, so Barry did not take it seriously. (I have heard more colorful stories about this, but not from him, so I won't repeat them here.)
You might say that this is a technicality. I would agree with that but still claim it to be an interesting (even slightly inspirational, in some weird way) case. Moreover, Barry was 22 when he attained his PhD, so some actual schooling must have been skipped (or highly abridged).