No, when you look at an electricity pylon, the wire at the top is a protective earth (used primarily to draw lightning toward it rather than the phase connectors).
We're working on quite old technology: it wasn't efficient to convert between DC voltage levels, but with new DC

C converters, it is now possible to transmit DC efficiently. In fact,
this map shows some links where DC transmission lines are in use. There are some advantages to this, for example, the skin effect (where electric charges repel each other, resulting in the charge travelling through the outside of the wire) is minimised; the effects of capacitive and inductive losses are minimised; and, there is no synchronisation issue between different electrical networks.
I did a project on whether we should replace the current AC transmission/distribution system with a DC version. If anyone is interested, we came to the conclusion that we shouldn't, but we should install large AC-DC converters in strategic locations (such as one per house, street or office block) because one large AC-DC converter is more efficient than lots of little ones (think about computers in an office- you'd only have one power supply for all of them, which would be more efficient than each one having its own power supply unit); and we also came up with a new plug design so that devices could use both AC and DC without having two separate plugs, which could get quite confusing (think about things like washing machines, which require a motor to spin the drum/pump the water and DC to run the spin-cycle computer(s)).