Yes, really. I don't use Windows myself, but I've seen it happen to others. As another commenter said, it's usually when the computer is coming out of "sleep" or something like that. Plenty of times I've seen a glimpse of the desktop that was long enough for me to get a vague idea of what they were doing before the lock screen takes over. If one was determined enough a photograph could easily be taken in that time.
My guess would be that the video buffer wasn’t cleared before suspending. If so, on resuming there is a race condition between painting the lock screen, and turning on the video hardware that will show the screen memory as it was when suspended.
