Is there a double helix RNA?
Yes, double-stranded, helical RNA exists. It can occur naturally, a famous example would be Rotavirus, as well as synthetically in the lab. 

Please note, however, that viruses strictly speaking do not qualify as a living organism. 

References:

RNA double helix structure identified using synchrotron - McGill University

Double-stranded RNA viruses - Wikipedia

Rotavirus - Wikipedia