-1.2V from LM337L negative regulator?
Yes, you can have R2  = 0. The reason for R1 = 240 \$\Omega\$ if to guarantee an minimum current of nominally 1.25/240 = 5.2mA. 

This is typically enough to keep the output voltage from going out of regulation,  but worst case with 40V in is 10mA so it's not guaranteed to stay in regulation with no external load.



Chances are the reference voltage on your unit will be rather close to the typical value of 1.250- the outside limits are very rarely approached in a well controlled semiconductor process.

The TI TPS7A3301 series is guaranteed to get down to 1.2V.