If I remember correctly, a few or all of the souls games did. One save file per character, I believe. I think there were several reasons for it but the main one was so that you couldn't just reload a save after you died or made some choice that you didn't like. It made each action you took mean something. It's in spirit of that kind of game.
Dragon's dogma is the only other game that I can think of that had only one save file. Basically, its the same as the souls games but there's two new things. First, your pawns are tied directly to your character and any rewards it gets while in other players' worlds. If you delete your character, you would lose the pawn. Any DLC you bought was tied to that save file, you lost that save or deleted, you would lose the DLC. If you wanted to start a new character, you would lose the save file and any DLC that was attached to it. That was pretty dirty for a company to do in my opinion since a lot of the players made new characters after a while.