Yes, DLR tested a EADS/Astrium modified test chamber cooled by liquid oxygen as part of the "Phase 2 Technology Demonstration Programme" research work for Reaction Engines' SABRE engine, some time between 2009 and 2012.
As well as tests using liquid oxygen in the combustion chamber's cooling jacket while running on H2/LOX (shown in CCTV images in the linked document), separate tests at DLR used air in the cooling jacket with heavy hydrogen film cooling in a EADS/Astrium built combustion chamber, while the engine runs on compressed air and hydrogen (shown on the inset image)
Details from Hempsell, Mark (September 2013). Progress on SKYLON and SABRE (IAC-13.D2.4.6). 64th International Astronautical Congress. Beijing, China.