No, this is impossible. This is a standard lemma, but I'm finding it easier to give a proof than a reference: Let $G$ be your finite group. Suppose that $H$ were a proper subgroup, intersecting every conjugacy class of $G$. Then $G = \bigcup_{g \in G} g H g^{-1}$. If $g_1$ and $g_2$ are in the same coset of $G/H$, then $g_1 H g_1^{-1} = g_2 H g_2^{-1}$, so we can rewrite this union as $\bigcup_{g \in G/H} g H g^{-1}$. There are $|G|/|H|$ sets in this union, each of which has $|H|$ elements. So the only way they can cover $G$ is if they are disjoint. But they all contain the identity, a contradiction.

**UPDATE:** I found a reference. According to [Serre][1], this result goes back to Jordan, in the 1870's.


  [1]: http://www.ams.org/journals/bull/2003-40-04/S0273-0979-03-00992-3/home.html