The reference posted above doesn't mention if the triple play of Kealey's occurred on the first pitch, but at least two pitchers -- Jeff Nelson and Ken Ash -- have done it on the first pitch:
https://www.reddit.com/r/baseball/comments/1md0lv/has_a_pitcher_ever_gotten_3_outs_on_one_pitch/
Also a relief pitcher could come in with men on base and either pick one runner off and throw a double play ball on the first pitch, or pcik two runners off and then record a single out on the first pitch.
It's also theoretically possible for a pitcher to have a zero pitch inning, if 3 runners were picked off, but I don't believe that's happened.
Actually, it'd be possible for a pitcher to start an inning, throw no pitches, and record three outs. If
a batter refuses to enter the batter's box in a timely fashion as directed by the umpire, the batter is charged with a strike. 9 instances later, the three men are out.
Therefore it'd be possible to pitch a perfect game if that scenario was taken to the absurd.
Rule 6.06:
http://mlb.mlb.com/mlb/downloads/y2012/Official_Baseball_Rules.pdf