Yes! Our eyes and some cells on the uppermost layer of our skin can take in oxygen from the air in a process called passive diffusion. Passive diffusion means that because the cells are in close contact with the air they can absorb oxygen directly from it. However, our body needs lots more oxygen than what it can get from passive diffusion and thats where our lungs come in.
From some quick research, the cornea (the transparent part of the eye) has no blood vessels, so it has to get oxygen through absorption from the air, and our skin also absorbs a tiny bit of oxygen from the air!