Yes. Had a large chunk on Murray 3-0 against someone at the Australian Open 2011, and he was two sets up, and something like 4-2 in the 3rd set, when the guy retired and the bet was void. Was raging, but that's just the way it works.
Just looked it up. Karol Beck, 1st round, 6-3 6-1 4-2 before Beck retired.