Not to worry - this was on purpose. Here's an interesting fact (you most likely didn't know...)

History of the hairless cat breed: The Sphynx Feline.

Although hairless cats have been reported throughout history, breeders in Europe have been working on the Sphynx breed since the early 1960s. Like so many other feline breeds, the present day Sphynx line has been a creation of the simultaneous work performed by nature and many committed, competent individuals. Two different sets of hairless felines discovered in North America in the 1970s provided the foundation cats for that which was shaped into the existing Sphynx breed.

*Info obtained from Wikipedia. If you can't trust Wikipedia, who can you trust?