Yes it is heard of - In fact, I had a coaching call with a member of the firm before I started!
Though in my experience this was more of a general chat of how these interviews go down, what to look out for with regards to that specific firm, and how to prepare for the interview - but it is not a coaching session in the sense that you "practice" and interview incl. case practice etc.
With regards to the reasoning behind it, it might be that they have a good impression of you based on previous interactions or your CV, or that they think that you might be particularly in need of a coaching call, e.g. because of coming from a non-business background.
If you have the opportunity to do such a call, I would definitely advise you to take it, and ask as much as possible!
Hi Jonathan, after the coaching session, can I ask the coach to evaluate my case performance and see how much more I need to do before the next round of the interview? If I feel I am not good enough to the final round, will the coach let me know？