You do not need a neutral connected to the load side of the device.
Line side is a little more questionable, but I think you do need a neutral connected to the line side for it to work properly.
There is a fairly current thread on this topic and from what is said there, it is not all that clear. A schematic of a Square D GFCI posted in that thread shows the test button will not work without the incoming neutral, but we don't know if any protection is lost should there be no incoming neutral.
I will try to post a link to that other thread.