Oh yeah, all the time. I notice that a lot if you drop through a tall shaft. This happens in Hideout1 all the time. I'm not sure if it takes you to another room or not, as I fall so fast that it's above the screen before I can land some place, and once it's off screen, it's gone.
It's just one of the many graphical glitches you're likely to encounter in oldschool games.
I've played around with it, and you can shoot it with stuff, but it's too deep in the wall to hit. I've also gone off the screen a bit, then come back immediately, and it's still there.