I just got an email saying that I have a comment on my Facebook photo...

…but I don’t have a Facebook account!

Is this some kind of phishing or malware attempt?

(did not click on the link, btw)

It’s probably a phishing scam, so definitely delete the email and don’t click on anything in it.
Go to facebook by typing it into your address bar and try to do a password retrieval/reset using your email address. If it comes back saying “account not found”, it definitely was a scam. If it goes through and your password is retrieved/reset, log in and see whats out there.

Someone could have created an account ‘for’ you, listed your email address, then posted and tagged a pic of you in a way to bait you onto facebook.

All anyone needs is your name and email address.

It comes back with “account not found”. Deleting the email. Thanks.

Definitely, a phishing attempt. The link will probably take you to a fake Facebook site and prompt you for a login, etc…
Report it then delete it.