Never seen one... but definatly a good idea. Not sure if you'd need a whole bag, or just a sling of some sort. Like something that would hold the top bar, and just a strap that goes to the bottom to hold it from swing around.

I got tired of the U-locks bulkyness... that's why I have a coil lock. Wraps around the bars on my BMX, or the seat post of my roadie.