It seems to be an extremely rare occurrence. In most cases the producers were confident that the show would come into New York from its out-of-town tryout.
*Not sure if this counts* The Dunkin Donuts/PRINCE OF BROADWAY billboard went up in times square advertising a Fall 2012 opening, and then it was delayed the morning after it was revealed in Times Square. When I was in the city in June, July, AND September, the PRINCE OF BROADWAY ad was still running.
Someone told me once that the maquee went up for Andrew Lloyd Webbers 'Whistle Down The Wind' at the Martin Beck theater (Al Hirschfeld) and was meant to transfer after its try out in Washington, which was directed by Harold Prince.
I don't know if there is any truth in this though?
The 2009 revival of BROADWAY BOUND. The production had a double marquee (the image included here); as we now know, BBM opened and BB never played a performance.
"You travel alone because other people are only there to remind you how much that hook hurts that we all bit down on. Wait for that one day we can bite free and get back out there in space where we belong, sail back over water, over skies, into space, the hook finally out of our mouths and we wander back out there in space spawning to other planets never to return hurrah to earth and we'll look back and can't even see these lives here anymore. Only the taste of blood to remind us we ever existed. The earth is small. We're gone. We're dead. We're safe."
-John Guare, Landscape of the Body
I have the commemorative Playbill from the 50th Annual Tony Awards, the back of which is a full page color ad for the "Newest Andrew Lloyd Webber Musical coming to Broadway - Whistle Down The Wind"
I remember in the 20/20 interview that Walters did with him there were clips from DC with the adage that it would be opening in NY the following year.