Is it possible to buy Ether directly to Ledger Nano S? Because I don't want to download Mist, then create account there, and then wait for the entire blockchain to sync, mainly because while syncing, Malwarebytes is going crazy blocking many outbound IPs! I hope that they're not there to steal my Ether! That's why I want to directly buy Ether to the Ledger, or that would not be possible?
Nope, got to go through the process like everyone else. You wouldn't want to accidentally get your ether stolen/siphoned off if you gave it a direct line to what should be a secure wallet.
Try this tutorial listed on their support page, its as direct as it can get while being secure.