They did not play in one in the 1900s or the 1910s either. Yes, they were known as the Highlanders for about a decade after they moved from Baltimore after the 1902 season, but they were known as the Yankees for most of those teens.
Now, it would be accurate to say that should they miss this year, it would be the first decade they haven't played in one since some form of Yankee Stadium has existed.