Well I can’t say it’s something I tried as a child, but seriously, either water is going to leak around the nozzle or the nozzle is going to push itself put of you. Even my ass couldn’t keep it in when I tried and my claim to fame is winning a tug of war with a guy over a buttplug. Maybe if your wand head was a large bulbous plug, in the sweet spot for the individual of being large enough to impede exot but not large enough your muscles are already stretched and half trying to push it out, it’s unlubed, and it’s been a while since you put it in so you’re not warmed up anymore, but now we’re playing “mythbusters replicate the reults”.

I obviously can’t dissprove what you’ve heard because it’s so vague, but if it did happen, I’m willing to bet what you’ve heard was just the kernel of truth wrapped in an urban legend.