It happened to me once when I was moving to a new home. I was spending a few nights in the old one and a few nights in the new one. I woke up one night believing I was in the new one but the sources of the street noise outside didn't match the ones in the new house. It was very disconcerting. It took me a while to realize where I was.
I won't say it happens to me regularly. But when I've been on some customer event road show with one or two nights in each city, I have definitely woken up and taken a minute to remember what city I'm in.