Roy Mustang was a Soldier of the Army before he became a State Alchemist. He had graduated in Military Academy prior to become the "Flame Alchemist" (and that's when he met Maes Hughes, in fact), so, he has the same training as any other Military personnel, unlike many of his fellows State Alchemists. So, although not being a Martial Artist or a malee fighter, Mustang has basic self-defense and fire weapon's training. He doesn't rely on those, though, as he's a lot more dependent (in terms of fighting) on his alchemy.