Masters in Europe, PhD in US
No, you will have to take the classes.  There will always be exceptions but one reason for this is that most Math/Physics PhD programs have a qualifying exam.  If you are not familiar with this, it is an exam that everyone takes after the first (sometimes second) year when everyone has finished the required classes.  It is used to measure whether or not the student has the theoretical foundation to then move onto research.  Failing the qualifier may mean being forced out, though you can usually at least get a MS if this happens.