Yes there are some instances.. see the links belowl
The proof that it can happen can be found in the existence of identical triplets, given that conjoined triplets are just a single fertilised egg that twice splits but fails to separate properly, and the developing embryo results in a conjoined foetus.
As only one in approximately 100,000 births will result in identical triplets; a far, far smaller number will survive full-term, and given that medical complications are more probable during a pregnancy involving 'higher-order multiples', and that they will probably share vital organs, you can imagine how unlikely it is for conjoined triplets to occur.
However, when the subject of conjoined triplets (or 'triple monsters' as they call them) was addressed in Gould and Pyle's infamous 1896 book Medical Curiosities, they made reference to some unverified cases. They wrote: "Haller and Meckel were of the opinion that no cases of triple monsters worthy of credence are on record, and since their time this has been popular opinion.
Surely none have ever lived. Licetus describes a human monster with two feet and seven heads and as many arms. Bartholinus speaks of a three-headed monster who after birth gave vent to horrible cries and expired. Borellus is quoted as mentioning a human monster formed of three foetuses, but his description proves clearly it was a union of two. Probably the best example of this anomaly that we have was described by Galvagni at Cattania in 1834. This monster had two necks, on one of which was a single head normal in dimensions. On the other neck were two heads. Geoffroy-Saint-Hillaire mentions several cases, and Martin de Pedro publishes a description of a case in Madrid in 1879."
The closest instances we could find were cases where there were conjoined triplets, but they weren't all conjoined at the time of birth, ie, one of them was completely separated from the other two. In 2003, in Argentina, two conjoined triplets were born. However, only two of them were joined at birth and they both died, although their sister lived. There was another similar case in Texas in 1982, also involving three girls, but the same thing happened: only the separate child lived.