Creating an external authentication module
I stumbled on the exact same problem recently, and ended up using a generic user for all ones authenticated via the external system. It's the only way I see to manage this without creating a Drupal user for each external one.

Of course, it all depends about what you're trying to achieve. If you need to customize the website based on each individual user, you're out of luck with this solution. But then, if you need this level of granularity, you'd use a standard solution with automatic user creation, right ?