Are there *really* no torches in all of Whiterun?

The only places that have a chance to sell torches are general goods stores, of which there is only one in Whiterun: Belethor's General Goods.

The problem is that, because general goods stores can potentially stock anything, whether or not he sells torches at any given time is a total crapshoot.

You can keep refreshing his stock by waiting around for 48 hours, but it's probably easier to just fast travel to all the general goods stores or—easier yet—raid an uncleared dungeon that'll most likely have one or two.

The tunnels in Dragonsreach Dungeon have many a torch sconce. Enter the Guard Barracks behind the Bannered Mare, take a left and down the trapdoor into the tunnels.

If you want to explore further note that the locked gate has a lever, it's easy to miss. Of course this is the easy way in, you can probably find the more difficult way on your own:

Loose grate in back left dungeon cell. Will take some lockpicking.

You can go to a mine they always have torches. and if your after ebony get the torch and the ore at thew gloombound mine.