Yes, I had two girlfriends who never had an orgasm. They did enjoy sex and penetration, a lot of the time they initiated intimacy, one of them was highly sexed but never had an orgasm. It is unusual but it does happen. One common feature between them is that they both had psychological issues; one had a rather strict upbringing - she was brought up to think sex was just for procreation, the other had serious self esteem issues.
Both were wonderful girls, I fell in love with both of them. The one with self esteem issues enjoyed a lot of massages, very sensual massages which would culminate in sex. She would not come but would enjoy penetration and the intimacy. Not even a vibrator would work with her.
The one with the strict upbringing would not even contemplate masturbation to achieve an orgasm. Like the other one she would enjoy the intimacy and penetration but would never climax.
I'm not an expert but you can see their mental health issues may have had a lot to do with them not being able to climax during sex. I'm sure there are some other cases where the problem (if it is a problem) is physical rather than psychological.
At first, as a man (macho man than I am... ahem) I used to think it was some kind of failing on my part when they didn't come. Especially with the first GF. When I go to the second one I recognised the signs and I wasn't that fussed about being a macho man that has to have his woman climaxing at my every touch.
Like everything else in life there are a huge range of issues that make a woman able or not to orgasm. I have had the whole gamut, I had GFs who were multiorgasmic (my last lover was super-multi-orgasmic. When she was in the right mood and super turned on she would climax 20, 30 times or more. I kid you not), then I had other GFs that would come only once after a very, very, very long and protracted foreplay and sex session, but their orgasms were explosive. The majority of GFs were just OK and would climax "normally".
Us humans are weird, complex and wonderful creatures.