Can I connect the primary of two coupled inductors (transformer) directly to mains voltage in parallel or do I need intermediary circuitary?
I don't know if this is just a PSpice limitation or if connecting the
  primary of a transformer directly to mains without resistors is a bad
  idea?


Put a 1 milli ohm resistor in series to break apart the inductor and the pure voltage source. It's a common enough trick to have to do on nearly all simulators.

The thing is this: a pure voltage source doesn't exist so it's no big deal adding the resistor like everyone else. Make it 1 micro-ohm if you want or a pico ohm. Even try 0 ohms - sometimes that works.

But, as per the comment by @user4574, the real circuit needs a fuse to protect the wiring infra-structure in the building.