Do you mean you will not be receiving a Masters at all if you get into a PhD program? If so, then the following could apply:
In most application forms, when you enter your school and start/end dates, there is a box for extra notes. You should indicate it there. If this doesn't exist, then usually applications have a final page/box at the end for any special notes. Place it there too. I think it's important to have it in at least one place in the official graduate school application forms.
You should also note this on your CV when you list your Masters school. This will ensure the department also sees it and knows your plans. If you feel you need to explain this decision, also do so in your SOP.
If a Masters is not required for your PhD program, then it will probably not make a big difference. But it's important to be transparent so that the Graduate School and your department will not be expecting you to show them your Masters degree when you get there.