Sure. There's the story of the Angels of Mons in World War I. British soldiers claimed to have seen angelic figures protecting them during a battle. It was never really explained whether it was mass hallucination due to the extreme stress of war, or something truly supernatural.
Another one is the Dyatlov Pass incident which some believe might be related to a war - era experiment gone wrong. A group of hikers died in mysterious circumstances in the Ural Mountains. Some theories suggest military involvement, but there's no conclusive evidence to explain exactly what happened.
The Philadelphia Experiment is also a strange one. It was an alleged naval experiment during World War II. Supposedly, the USS Eldridge became invisible for a short time. There are many wild stories and speculations about it, but no solid scientific explanation has been found yet.