Yes, this has happened to me. They've called it "white coat syndrome".
Sadly when I looked it up last week, it turns out that it might actually be a sign of a problem even if it settles down:
It was once thought that white coat hypertension was caused by the stress that doctor's appointments can create. Once you'd left the doctor's office, if your blood pressure normalized, the thought was that there wasn't a problem.
However, some doctors think that white coat hypertension might signal that you're at risk of developing high blood pressure as a long-term condition. If you experience white coat hypertension, you may also have a higher risk of developing certain cardiovascular problems compared with people who have normal blood pressure at all times.