I don't know of an example of a Riemannian manifold that admits a (natural) group structure, but not a Lie group structure.
The manifolds that I do know are various types of matrix manifolds (all of which are Lie groups), the circle, sphere, etc. (all of which admit $SO(n)$), and lorentz space-time (which does not have a natural group structure that I know of, and is hence excluded from the question).
I admit, the question is somewhat soft in nature due to the "natural" group structure condition.