Yes, according to the FAQ -
If you've lost the sleeve to a game, please do the following:
Write your first name, last name, and e-mail login on a sheet of paper, along with the title of the game you're returning.
Place the sheet of paper into the pre-paid shipping envelope with the game.
Mail the game back to GameFly as usual. Once we receive the game, we will create a new sleeve and then return the game which will delay the processing of your return.
In the future, please hang onto the game sleeve to avoid any return delays.