No one. No player has ever won the Grand Slam. But, In 2000/2001 Tiger Woods won the Tiger Slam which was the 2000 US Open, 2000 Open, 2000 PGA Championship and 2001 Masters, the only player to hold all four major titles at once, it was known as the Tiger Slam.
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Gary Player, Gene Sarazen, Jack Nicklaus, Tiger Woods and Ben Hogan are the only 5 to have won all 4 majors.
Gene Sarazen who won the U.S. Open in 1922 and 1932, the PGA Championship in 1922, 1923, and 1933, the British Open in 1932, and the Masters in 1935.