Trace the black wire in your panel to where it comes in - that's where the white wire you have to check is.
Based on 3 GFCIs daisy chained together, I'm guessing the electrician wasn't that competent, else you have some really weird code there. But it also leaves the possibility that the first GFCI in the circuit is actually the second outlet in the circuit, and some nearby outlet is the first. I.e., if there's a closet or something that needed power, perhaps a lazy electrician figured, "it's only a 40 watt light that's going to be added to the circuit, what the hell."
Since you were competent enough to check the hot, ground, and neutral in the 3 outlets in the bathroom, before calling in the electrician, you might want to do the same in nearby outlets on walls or lights in closets that are close to the bathroom.