Is it true that there was no Full Moon in February, 1866?

Yes it is true, but this happens more often than you might think.

There was no Full Moon in February for the years 1809, 1847, 1866, 1885, 1915, 1934, 1961, 1999, 2018, 2037, 2067 and 2094. These are also the years that will have two Blue Moons by the way.