As admissionprof said, most astro/physics PhD programs in the USA do not require a Masters degree. They generally accept students right from a Bachelor degree.
However, many (but certainly not a majority!) international students do seek a Masters degree before entering a US Physics/Astro PhD program. This is more common when:
1) The student's undergrad degree is a 3-year degree instead of a 4-year degree that is the norm in the US, and/or
2) The student's undergrad degree is not in Physics/Astro but in a related field (e.g. engineering, computer science) but the student doesn't have enough undergrad physics/math/astro classes to get into a PhD program (especially if the above point applies), and/or
3) The student is from a country where getting a Masters before PhD is normal so they got a Masters after their undergrad in order to apply to PhD programs in the US as well as other places that generally require a Masters first (e.g. Canada), and/or
4) The student feels that the additional experience and coursework in a Physics/Astro Masters degree will make them more competitive.
So while you might know or have heard of many students going to a Masters program before a PhD, it is almost never a strict requirement of US programs. However, depending on the student's background and experience, many may choose to pursue a Masters degree first. In the US, a Masters degree isn't very meaningful and can cost a LOT of money. Just wanted to point out that the majority of international students meeting the above criteria have gotten their Masters degrees from places outside of the US (e.g. my PhD program had many international students with Masters from Canada, UK [Cambridge], and Zurich especially).