Does the 2011 Macbook Air come with a OS reinstall USB drive?
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.