Yes, it's definitely happened before (in similar fashion across all the networks), probably going back as far as the early days of network radio. There's also the case on the other end where the anchor explains that some stations are leaving the special report, but they'll be continuing for others (because it's time for the late local news in one time zone, for example).
Affiliates monitor NBC's main Eastern feed for special reports, so that's where they're going to run the special report graphics (and that's where affiliates are going to switch for the special report broadcast). I'm not sure how they'd coordinate things in a way where "NBC Nightly News" viewers wouldn't have to see the special report intro... and they'd be seeing Lester Holt sit silent for a few seconds and then having to re-introduce himself anyway.