Some Benelli semi's can be made to do this. Never heard of anyone doing it with an 870 and I don't think it would work on that gun. I know a few duck hunters who use the method to gain an extra round. It is illegal, but awful hard to prove since you have a plug in your gun that limits it to 2+1. Lots of guys keep 1 or 2 shells in their left hand and can reload fast enough to get off 4-5 shots in pretty rapid order even without doing this. One of mine will, the other will not, but I've never really done it other than just see if it will work.
On a SD gun it is a more practical application. One more round in the magazine never hurt.