No firm indication either way, I believe. It's up to the interpretation of the player, at this point. My guess is Caribdis is going to keep it ambiguous. Folks can get weird if their animated waifu has a sexual past.
Annie, Nova and Luna are the confirmed virgins of the harem. None of them have ever gone that far and that's confirmed in the dialogue. Nancy has had two kids, so her status is obvious. Dalia, Alex and Penny are the ones where we don't know 100% for sure. Dalia probably is. There's no indication she's even had a boyfriend before, and her latest sex scene heavily hinted, at least to me, that Orion is the first person she's considered going that far with. Calling him 'the one' and all. Speaking of Orion, he's also a virgin at the start of the game. That's confirmed in Nancy's scene in v0.5.
Alex and Penny are a different matter. They don't act entirely inexperienced with sex, but how far have they really gone? Penny has had at least one short-lived relationship in the past, but also says she's 'not a first date kind of girl', so that may not have gone very far. And Alex has severe daddy issues that motivate her to act out to piss him off, but she also has very high standards for who she finds interesting enough to befriend, much less sleep with. Tough call for both of them.
Gun to my half-drunk speculating head, I think both Penny and Alex are(well, was in Alex's case) virgins in the simple 'penis-in-pussy' sense, but have both done at least some level of sexual stuff before the met Orion.
Oh, and I forgot about Calypso. I can't imagine she's let anyone touch her. Not the high-and-mighty elvish princess with a human fetish. No way.
TL;DR: Maybe.
