Nope. No site needed. You can use the merchant's site as long as no one else is using it for the keywords you are targeting. Google only allows one top level domain per keyword phrase bid.

So let's say you are wanting to promote your affiliate link under the keywords "hot dogs" and your affiliate link from the merchant company you are using for AdWords is
affiliate107.hotdogs.com but someone else is bidding on the same keywords and their affiliate link is affiliate108.hotdogs.com (hotdogs is the top level part of the domain) Google will not allow more than one top level domain for the same keywords. That's why people often buy their own domains just for adwords.

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Severely Addicted to AdWords