Of course not. Jesus, referring to his upcoming death, said:
I have a baptism to be baptized with, and how great is my distress until it is accomplished!
There’s no evidence that Jesus got wet when he died.
Paul said of the Israelites,
For I want you to know, brothers, that our fathers were all under the cloud, and all passed through the sea, and all were baptized into Moses in the cloud and in the sea …
(1 Cor 10:1-2)
The Israelites were baptized, but they didn’t get wet. In fact, the Israelites’ dryness is a pretty significant feature of the story of the Exodus. 1 Peter 3:20-21 talks about another time when not getting wet was the key factor in salvation (i.e. the time of Noah and the flood), and links this episode to “baptism”.
My point is that when we read the word βαπτίζω / βαπτισμός / βάπτισμα in the Bible, we shouldn’t rule out the possibility that it’s referring to a non-aqueous “immersion” into something or somebody. Of course, sometimes it’s obvious that the baptism actually involves water, and the baptisee gets wet (e.g. Luke 3:3, 16; and so therefore almost certainly Acts 2:38). But the literal use of water, as we have seen, is not always implied in the use of the word.
In other words, sometimes it’s better to actually translate the word-group βαπτι-* (as, e.g., “immersion”, which has a large semantic range in English) rather than merely transliterate it (as “baptism”, which has a much more specific and narrow semantic range).
I’m saying this because I think that people are often too quick to assume that Paul is talking about a Christian rite of initiation involving water when he talks about “baptism” in Romans 6:3-4 and Galatians 3:27.