Do any RNAs directly inhibit transcription
Yes there are reports of RNA directly inhibiting transcription. 

RNA induced transcriptional silencing (RITS) is a well known pathway in Schizosaccharomyces pombe (fission yeast). Initial heterochromatinization is dependent on the RNA (as a DNA identfication module) that guides other functional proteins to the target (Also see Djupedal et al., 2009).

piRNA in higher eukaryotes are known to cause methylation of target DNA regions and thereby the repression of genes at these loci (Aravin and Bourc'his, 2008).

Some classes of small RNAs in C.elegans (such as 22G RNA) are also known to cause transcriptional silencing.

Many lncRNAs are known to inhibit transcription of their target genes. The most famous example would be that of XIST which causes epigenetic silencing of one of the X-chromosomes in the female. 

On a purely biochemical note, RNAs can also form triplex with target DNA regions and impede transcription and replication (Bacolla et al., 2015).