Reading through other questions I learned that the 2010 Air came with one, but I don't remember noticing any USB drives when I unboxed my 2011 Air (days ago).
Since the release of Mac OS X Lion (10.7), there is no installer media. The OS is downloaded over the Internet from the Mac App Store, and reinstalled from a recovery partition that is created on the hard drive.
It is expected that your computer didn't come with a USB drive for the OS, and the other models no longer come with DVDs.
According to Apple.com it does not:
In the Box
- MacBook Air
- 45W MagSafe Power Adapter, AC wall plug, and power cord
- Printed and electronic documentation
The air uses Internet Recovery to boot from Apple's servers and then recreate the Recovery HD if needed to re-install Lion (which also will download from the internet). You will only need media if you can't get to an internet connection and have the existing Recovery HD go bad.