In fact, it's never even happened for the first six games, in MLB, NBA, or NHL; so, the first time in 1,420 best-of-7 series.
It'd be interesting to get a statistician on it. Based on this link there's only 35 different permutations in a 7 game series. So given random chance you should get roughly that sequence every 35 series.
That it didn't happen until 1420 were played suggests to me that home-field advantage is huge. I wonder if someone's tried to quantify that before..