You know, based on reading thedailywtf[1] for a while, I've concluded that it happens very infrequently even under the most absurd circumstances. Most of the time, the interviewee says something like "This was bizarre, but I figured I should just stick the interview out". I'm curious why that is.
[1] http://thedailywtf.com/Series/Tales_from_the_Interview.aspx