Can you transfer Bitcoins from one address to another address directly without going through the web?
Yes, the simplest example is that you could create a paper wallet, send coins to that wallet, and give the paper wallet to your nephew.  

In this sense, the paper wallet act similar to a bearer bond. Whomever holds it, has access to the coins. The caveat is that your nephew has to trust that you don't spend the coins (since you have seen the private key).