I read this is how the CD Projekt Red founders smuggled Western games into the Iron Curtain states. I think it's an urban myth, but separately, the founders smuggled games into the USSR, and some games were smuggled through the radio then.
I remember hearing about people who were really into data broadcast over shortwave radio. They were mostly prepper types, but I'm sure there were some pirates among them.
Here's a pretty thorough article on data over radio: