Definitely. That's why it makes a good question for the initial screening. If you can't come up with the O(N) solution, there's very little chance you'll pass the on-site interviews.
> Doesn't the blog post already include a single-pass solution that works on a small alphabet?
It's actually two passes: one to create the set, and one more again to find the character. There's a solution you can do in only one pass through the string and one through the alphabet. Complexity is the same, but it's far fewer operations for the specific example given.