Yes, it happened. The Yak-15 is basically a Yak-3 with a Soviet built German Jumo 004 engine installed, the Saab 21R is a Saab 21 with a jet engine. These are however the only two models I'm aware of that have actually gone into production as modified versions of a prop aircraft. There's a reason for this, jet engines have very different thrust and weight characteristics which usually means the entire airframe needs to be re-designed. Jets also consume substantially more fuel which means modified planes either end up with drastically reduced range or need further redesign to accomodate larger fuel tanks. If you have the time it's usually easier to just redesign the airfram altogether.