I was at CGA from 2002-2006. I know of only one cross-commission, a USNA class of 2004 grad (she had also been an exchange student from USNA at USCGA). After graduating from USNA she did have to attend a director commission course to teach her specifically about the Coast Guard.
I think one or two have happened since, but it's pretty rare, one because the Navy paid for the training, why give that investment up, and two because the Coast Guard trained the folks it wanted to become officers.