Do I Need a Mac to Make a Game for the iPhone?

To get a Unity iOS license, you have to be part of the Apple Developer Program and have installed the SDK, which requires a Mac.

You don't necessarily have to do all of your development on the Mac, but it would be prudent to do so.

A non-Unity option for developing iOS apps on Windows is the AirplaySDK. Google it. It's a multiplatform SDK that lets you write and deploy iOS apps on Windows, and in C++ to boot -- no need to learn ObjC.