Possibly! And there are many ways to do it! Here are two examples:
1) We have an army consisting of 1 Dragon. We approach the Seer's Hut (the guard in question) and give away the Dragon ---> the hero is left without an army.
2) During a battle, we summon Elementals. All our monsters are killed, only the Elementals remain, we pay them off, and then buy a hero without an army in the tavern.

Heroes without an army move at maximum speed!! (in The Shadow of Death, they move at minimum speed.)