I'm not quite sure I believe my own proof, but, it seems to me that no such graph exists. Not among finite graphs, that is.
Suppose $G$ is an example of a connected, finite plane graph having a spanning tree $T$ such that each face of $G$ has at least one edge in $T$, and suppose that amongst all such examples, $G$ has the least number of edges. Note that $G$ has no separating vertex, for if it did then we could cut at that vertex and get an example with fewer edges. It follows that the boundary $\partial G$ is a circle, so $\partial G$ contains an edge $E$ that is not in $T$. The graph $G - E$ is therefore an example with one fewer edge (and one fewer face), using the same tree $T$. Contradiction.