I cannot answer for all ethical theories, but for Kant, the answer is most definitely yes.
Specifically in the Metaphysical Principles of Virtue or Doctrine of Virtue (Both are names for the Tugendlehre), Kant identifies both suicide and lying as wrong not because of anything they do directly to others but as failings in one's moral duty to oneself.
Working from memory (though I spent a few pages on in my dissertation), the basic argument for suicide being a wrong is that the self is a rational creature and it is the duty of every rational creature to always consider rationality to be of worth and not price (non-relative value). To kill yourself is to act against the rationality in yourself and thus immoral for Kant. The suicide case is followed by casuistical questions that look at whether certain acts constitute a violation of this duty. Here, he mentions borderline cases like knowingly sacrificing yourself in a war or killing yourself because you have "hydrophilia" (= rabies).
For the second example, Kant's argument that lying is a failure in duty to oneself is a bit more interesting and ingenious. It follows along similar lines but explains that lying is an insult to the sort of being you. It's the reduction of rationality which depends on the truth to contingency for the sake of convenience. Again, this is followed casuistical questions about what constitutes "lying" or not. For Kant, idle banter at a party is not lying even if it is not per se true.
I am not familiar enough to know a passage in any utilitarian or consequentialist works on this point, but my suspicion is that the answer here would also be yes unless the thing to be maximized is "autonomy." If it is autonomy understood as pure expressions of freedom, then no such wrong is possible. But if it is suffering, then there's no reason to imagine that you are not committing a wrong against yourself when you act in such a way that increases your suffering.
If we take Aristotle's Nicomachean Ethics to be the origin of virtue ethics (a claim that involves a certain sort of historical anachronism), then there's good reason to think that many wrongs are wrongs ultimately against the self for virtue theorists. I'll explain a little bit about. Aristotle's theory is built on the function argument (Book 1 section 7) which argues that a thing is best when it is fulfilling its function. Moreover, when it fulfill this function then it experiences eudaimonia (not to be confused with say the fun of a drug high -- seek book 2) and exhibits arete (excellence) in its actions.
The primary way in which something is wrong on a pure virtue theory approach is that it undermines the self's commitment to excellence. There's nothing in the nature of the self that is best fulfilled by being a lying scoundrel or by committing actions which will help to make oneself into that. Similarly with your bestiality example, human sexuality is not most fulfilled by having sex with animals.
I'll stick with lying however to show the point. Developing a skill for lying will incorporate lying into your character, but that's not what we're meant for. As you lie more, your ideas of what is pleasurable for you to do will warp towards lying, and this will move you away from eudaimonia.
