http://msgboard.snopes.com/cgi-bin/ultimatebb.cgi?ubb=get_to...
It seems to me unlikely, given that eating tissue paper is really difficult and in my opinion it would take far more willpower to force down enough tissue paper to induce satiety than it would to just stay hungry. It would be much easier to eat, say, a pound of celery, which would be calorifically indistinguishable from the paper.
Besides, real ballerinas must do a hell of a lot of exercise. I'm thinking they probably eat like athletes, not like teenagers with eating disorders.