I have but it is ruled out in many view. Some think the Native Americans, when they were smoking what ever they were smoking, were hallucinating. I ,myself is unbiased on this subject matter. I haven't seen it either.
Shapeshifting occurs in numerous cultures from around the world, from Asia to America. Native Americans do have stories about shapeshifters called skinwalkers. They where pretty much "evil" spirits that messed with the living by taking on human form( usually a skinwalker was the spirit of a dead shaman ) and then transforming into their spirit/power animal form. Same thing from other cultures, like the Egyptians had the earliest recorded mentioning of a werewolf like creature but it was described as a spirit not a physical entity. In ancient cultures all shapeshifters where originally described as spirits not physical beings.
I've heard that daemons/djinn are excellent shapeshifters. I've never seen one in physical form (I've met some on the astral plane), but I am under the impression they can take a material shape if they want to.