The answer is almost entirely “yes”.
Strictly speaking, heating and cooling alone won’t do it – you may also have to change the pressure of the substance. Carbon dioxide, for example, goes straight from solid to gas at normal Earth pressures but does have a liquid state at higher pressures. (Water would show the same behavior at lower pressures, going right from ice to vapor without a liquid state. It does this on Mars, for example, which is why Mars has no liquid water on its surface despite (a) having tons of ice and (b) sometimes going well above freezing temp.)
There are also chemicals that, under normal circumstances, will break down or react long before they reach a different state of matter (for example, wood will burn before it melts). But in principle, every substance has a [triple point](https://en.wikipedia.org/wiki/Triple_point) where the solid, gas, and liquid phases all meet and you can go through any of the three phases by changing temperature or pressure just a tiny bit.
Very strictly speaking, I believe helium-4 is speculated, but not known, to have a solid form at high pressures. But that’s a rare exception in a material that interacts in extremely unusual ways, at temperatures low enough for quantum-mechanical effects to be important (at which point “liquid” stops really being a good descriptor either, as it doesn’t behave like a typical liquid).
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