No that doesn't sound like a good or safe treatment. High frequency sound waves do not pass efficiently through air. the gel is mainly water and acts as a couplant between the your skin and the machine head allowing the waves to penetrate your body. Pudding Bowl is right about the dangers of a possible burn.

You did mention the word "sink". Ultrasound can be applied under water in a bath of some sort - here the water is doing the same thing as the gel. the water has to be "degassed" (boiled to remove traces of air in the water). Otherwise bubbles form and can interfere with the transmission of the sound waves.