I don't know of any such incident and I highly doubt it: It took you several months, comfort was lacking, the passage itself was dangerous (storms) and so where the colonies (dieseases).

Oh, but I remember one exception: The portuguese king João VI fled Napoleons troops in 1807 and reigned from Rio de Janeiro until 1821. But due to his presence, Brasil immediately ceased being a colony and turned into being an integral part of the kingdom.