A lot depends on whether by wings you mean those things we tie on flies to represent wings or the impression of wings. For example, a simple hackle dry fly has no technical wings, but the upright hackle certainly represents wings. So, most "wingless" dries actually have wings, or at least material that looks like wings to the fish. A truly wingless dry would be something like a traditional trimmed wing spinner fly with only a few hackle barbs on either side left to represent legs.