ive always wondered that too. i can remember a handful of times over the last few seasons when teams put up the picket fence in the first six innings (111 111) but it always seems like they go 1-2-3 in the 8th or 9th inning once the game is out of reach.
The number of games played in years with no records, 1871-1920, accounts for about 25% of the total number of games. So, if this has not happened since 1921 then likely this has never happened.