Actually, I think it IS possible. I have two urchins. One has very small fine (long) white threads that come out between the spikes. I can easily see a fish sleeping and the urchin attaching itself to a fish while staying "planted" to live rock. Fish gets exhausted and stressed then disappears.
Until you posted this thread, I have had fish "vanish". I am talking about 3 inch tang. and a 2 inch clown. The fish were healthy, eating good and good color and "poof" GONE.
Yes, it is possible that I have a Mantis shrimp but I don't think I do as I recently broke down the tank and left the LR out for 24 hours. I think I am going to get rid of my urchins - although they do a great cleaning job.