No, no they didn't. The only ones with tails, that I recall, are the Mutatin' line (pre-trucks and other crap), and these.
The reason for the omission of tails in the 'Toon TMNT (old and new), and most of the figures, are that to parents they look like penises, as Tokka pointed out .
Don't forget the pizza tosser's, they had tails too.