Well, not actually single letters, but rather pluralized single letters. There seem to be a few around. The Oakland A’s are probably refered to by that name more often than by the full name: Athletics. There’s also the O’s for the Orioles and M’s for the Mariners. Those are all I can think of.
Are there any others? Not just in baseball but in any sport?
I’ve seen/heard the NHL Boston Bruins occasionally referred to as “the B’s”, though in local media where the context makes it clear, and just as a quick shorthand when people are tired of saying “Bruins” for the umpteenth time in a broadcast or story; I’m even more sure the minor-league affiliate Providence Bruins are often called “the baby B’s”. Might have heard “The C’s” (if so, definitely local and in context), and definitely never “the P’s”, “the RS’s”, or “The R’s” for the other area major-league teams.