1) It is completely possible to create a sawtooth wave that contains only a single frequency. However, you could also consider the wave to be an (infinite) sum of sinusoids at different frequencies. Both views are "correct", and which is more appropriate depends on the context.
2) Related to (1): natural (acoustic) sounds are almost always best considered as a sine series. While there are such sounds which are most easily described as a sawtooth, when you consider the physical/mechanical process by which they are formed, the sine series is a more obvious approach.
3) A digital 1Hz sinusoid can trivially contain no harmonics at all. However, the moment you attempt to convert this into an acoustic pressure wave, the nature of the physical world essentially guarantees that the acoustic pressure wave will have a series of harmonics going out far beyond the base frequency. Once you start actually moving things (like magnetic coils, speaker cones and air), it's more or less impossible to avoid generating harmonics. But since the original signal was genuinely a pure sine tone, it becomes a little tricky to decide what the correct way to describe this is.
