As far as I know, yes, only those devices of the Lumia range.
Documentation is hard to find, but as far as I know low and mid range devices that do not support continuum do not support OTG either. I don't know either if USB Type-C is a requirement for OTG, as the VAIO Phone BIZ is reported to support continuum but has a micro USB port rather than Type-C. I haven't seen anyone posting that they have one as it's Japan only though.