If you're OK with エロい (as discussed in comments), there are examples like:
But note that these are directly derived from エロ(チシズム), グロ(テスク), and ナウ ("now"). They were not borrowed into the language as -i adjectives; they were borrowed into the language as nouns and/or na adjectives, and then THOSE borrowings were turned into -i adjectives. Ultimately, this is a form of slang/language play along the lines of the verbs タクる for "take a taxi", マクる for "eat at McDonalds", etc.
So, to get back to the original question, yes. Foreign adjectives always start out as な adjectives. This is a clear rule in Japanese dating from the days of strong Chinese influence. Even when the borrowed word actually ends in an -i sound (e.g. ファジー, セクシー), it is still treated as a な adjective when it first arrives in Japanese. But, once they are in the language, they can be broken down and then reborn as -i adjectives, a la グロい.
The interesting issue, I think, is: how "real" are these 二世 -i adjectives? On one end of the scale, I think that エロい and グロい are completely unremarkable now in colloquial Japanese. No-one thinks of them as wordplay. At the other end of the scale, I have heard things like セクシくない, but only as a joke. Treating セクシー is if it were セクシい, an -i adjective, even though both speaker and listener know that it is not, is unexpected and therefore amusing. Sort of like how in English we might say "You think that's amazing? I can show you something even amazinger!" even though we know that "amazing" doesn't take the "-er" ending.
(Tangent: Note that セクシい is structurally different from グロい: instead of taking the first two morae and making a new stem, it just reinterprets (intentionally misinterprets) the existing sounds of the word セクシー. This may be one reason why セクシい remains at gag level while グロい is already a regular word. Maybe the only way to create unremarkable adjectives/verbs from gairaigo in Japanese is to create a two-mora stem and build on that, and any other method will always remain at the humorous level. I haven't looked into this too deeply. It would be especially interesting to look at perceptions of these words among people born before and after they were created.)