Status: Fixed for next update.
Checked other possibilities; the only one I could notice would be a splatter in a level with the Rising Water gimmick in effect, if the water rose to where the lemming was splatting before the animation finished.
Put an exit on the water, no terrain under it. Then have a swimmer swim to the exit. Instead of the lemming exiting, it just merely screams "yippee" when they are at the trigger area of the exit, and just swims past it.
Sounds like what's happening is that the Swimmer transitions to an Exiter correctly (hence the sound effect being triggered), but the Exiter then transitions back to a Swimmer due to detecting the water (which should not happen; Exiters should be immune to this transition). I'll look at it soon to confirm if this really is the case, and get it fixed for the next update.
Note to self: Investigate whether this happens with other objects that might cause an action change too (off the top of my head, fire objects are the only one I can think of).