Years ago, I wrote in an article presenting the top 100 courses that 16 of the top 20 were built on sand. (George Peper still uses that factoid from time to time. So does Mike Keiser.)
The four that aren't: Oakmont, Merion, Augusta, and Pebble Beach. I don't know if Pebble is "clay" but it's sure not sand.
There are, however, tons of parkland courses that are not on sand: Winged Foot, Quaker Ridge, etc. There's also Cuscowilla, or Rock Creek.