Not sure about historical instances, but there is plenty of genetic evidence of intermarriage with South Asians among modern-day Southeast Asian populations. Pop anthropologist Razib Khan has posted extensively on the topic- see Bacteria tell the tale of human intercourse on India-origin stomach ulcer bacteria strains found in SE Asia, Southeast Asian migrations, Indians and Tai on Thai genetics, Conjectures about Southeast Asian genetic history, while Genetics as Thor Heyerdahl's revenge focuses on South Asian admixture in modern day Khmer Cambodians.

Also if you look at the reference populations used in various online genetic ancestry testing tools like puntDNAL K13 and MDLP K23b, you'll see that some of the Southeast Asian populations like Thai and Khmer score significant levels of South Asia-specific components like "South Indian" and "South-Central Asian".

Sources:

http://blogs.discovermagazine.com/gnxp/2011/07/bacteria-tell-the-tale-of-human-intercourse/#.WlLWR9-nFPY

http://blogs.discovermagazine.com/gnxp/2011/07/southeast-asian-migrations/

http://www.unz.com/gnxp/conjectures-about-southeast-asian-genetic-history/

https://www.unz.com/gnxp/genetics-as-thor-heyerdahls-revenge/