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Most microalgae have rigid cell walls.
Dunaliella Salina is a pretty famous example of an algae with no cell wall, but just a plasma membrane.
Are there any other microalgae without a cell wall?. I have researched but I can only find Dunaliella being mentioned.
Cyanidioschyzon merolae seems to be an example of such algae. Cryptomonad, aka Cryptophyceae also lacks cell wall.
I think, problem you encounter is that most studies are concerned with structure and function of cell walls, as such knowledge can be used in biotech industry. Hence, you will not find answer by looking for "algae without cell wall".
As a suggestion, I would point to this evolutionary study on development of plants: Evolution and Diversity of Plant Cell Walls: From Algae to Flowering Plants. Seems like trying to look through evolutionary trees might give you more examples.
