Strangely enough, I can't find much information on the subject, but you're right that saccharomyces don't ferment lactose.
Brettanomyces, or wild yeast, might be able to ferment it, but there are only a few species that do it(anomalus and claussemii, according to a table from Gilliland 1961). I'd either have to special order it or just make a wild yeast starter and just see what happens.
EDIT: Saccharomyces can ferment galactose, which I think means lactase can be used to convert the lactose in milk into something that conventional yeast can eat. :D