I remember in the mid to late 90's when Alexie Gusarov got hit into the boards in a game against the Red Wings, he actually swallowed his tounge, but I don't recall hearing about a mouth guard being swallowed.
The way the mouthpiece is shaped and positioned, the circumstances necessary in a game of hockey, for instance, to swallow a mouthpiece would have to be extreme, to such an extent that I would consider it a practical impossibility.
The player would have to NOT be holding it properly in their mouth, turned to the side to make it easier to go down the gullet, and hit so fast and with such force that not only would their reaction have to be to enhale or swallow suddenly, but it would have to beat the natural gag reflex that most humans have. Even if the player did not have a gag reflex, they wouldn't swallow or enhale on getting hit in the face.
If it hasn't been done, Jordan Staal will probably be the first to do it... somehow. The kid will be working along the boards, or deking through a defenseman and have his mouthguard half way out of his mouth chewing on it. It seems very dangerous but I guess at that size you don't get knocked around too hard too often. He said he has already gone through 3 for them this year and will probably reach about 10(I know, math doesn't make sense for me either.) If its an old mouth guard that hes chewed down a lot, possibly breaks or bends into a very small shape... maybe. I just don't see the logistics of it working.