That actually happened when I went to see Rush on their Counterparts tour. Blue Oyster Cult was opening and they were terrible! They go off stage and the crowd starts getting excited for Rush to come out. Apparently, BOC thought we were asking for an encore. They came out to a boatload of boos and quickly performed ONE song and hightailed it out of there! 
When Tool toured ~6 years ago they did not have any encores. I knew this ahead of time so my wife and I were among the first ones out of the stadium and parking lot. The lights are on people, Maynard isn’t coming back.
Donald Fagen did this too when I saw Steely Dan back in February, something along the lines of:
“At this point in the evening we normally finish up, then you guys go wild for a few minutes, then we come back on and play a few more songs for you. Whaddya say we not bother with all that crap and just keep going?”
Not exactly an opening act, but someone other than the headliner at a charity show. Iggy Pop was the penultimate act at a Rock For Choice show in the 90s, (sandwiched between Rancid and The Offspring) and was the only one of the 4 artists to do an encore (and it was a real encore, not a save-the-big-hit-for-last fake encore, as the lights had come on and then went back off).
Also hometown favorites The Blasters played “American Music” as their encore when they opened for The Kinks in 1985 at the LA Memorial Sports Arena (RIP)
At a show on the Purple Rain tour, Prince and the Revolution did the usual obligatory encore. The curtain came down, the lights came on, people started leaving. While the lights were on, they resumed playing from behind the curtain for about another 20 minutes. All new stuff that nobody recognized, some of which eventually turned up on the next album (Around the World in a Day)
Aerosmith was one of my favorite bands. That was until I saw them at Market Square Arena in Indianapolis in late '78. The sound sucked. Joe Perry fell and rolled across the stage after jumping off of the drum kit stand and left the stage for a couple of songs. At the end, Tyler had the audacity to say “I hope we passed the audition!” They left the stage and the lights came up immediately. It was the only time I ever heard a major act get booed.
I guess the best encore I ever saw was Stevie Ray Vaughn, Joe Cocker, and B.B. King at Lakewood in Atlanta. Stevie and B.B. played their guitars, and Joe grimaced along.
Was that IQ show in San Jose?
So, were they all chanting, “No more cowbell!”?
Yep!
Man I still regret missing that show. In 1994, I lived across the street from the Cabaret in the Oakwood Apartment Complex. My fitness club was next door to the Cabaret. After workouts,I’d look at the Cabaret’s little window showing upcoming concerts and remember seeing IQ’s promo picture, not realizing they were a prog band. A few months later I moved back east and my friend tells me about this great band IQ and plays me some of their stuff. I hit the floor. I could have seen them on the Ever Tour!!!
I saw Colin Hay in a small venue in Atlanta maybe 10 years ago, and he told us that he doesn’t do encores. He said something along the lines of “If you do an encore, you leave the stage and got out in the alley for a minute, then go back in. Wha’s the point? And there’s always one drunk guy already in the alley who says ‘they threw you out too?’”
I saw Tyler Childers a couple of days ago. The venue had a strict 10pm curfew, so a few songs from the end he said there’d be no encore, they’d just play straight through till the end.
I’ve seen a few bands in recent years that have said that, and in many ways I prefer it. On the other hand, if you don’t say there’s no encore then don’t do one despite the crowd wanting one, that#s a dick move.