This isn't a conclusive proof of anything; but it's plausible circumstantial evidence:
In all the events of Episodes IV-VI, Darth Sidious (aka Emperor Palpatine) was never shown even a hint of having a laser sword. Even when facing Luke in ROTJ, he relied on Vader's obedience to use his own lightsaber, or the Far-more-powerful-than-mere-Jedi-swordplay Sith Lighting (which was a typical Sith approach, by the way - see Count Dooku's initial attempt against Master Yoda; as well as Snoke himself in E8).
Yet, we know for sure from Episode III, that Sidious had a lightsaber and was kinda sorta "killed 3 Jedi Masters in a couple of seconds and went toe to toe with Vaapad Master Windu" good with it.
In short, just because Snoke, the leader of First Order, isn't ever shown to wield a lightsaber (but only Force based assaults), based on prior examples it clearly does NOT guarantee he doesn't have one stashed someplace, just for light excercise.