I've never done this, but I wonder if anyone else has. Here's the hypothesis: You badly need 1 more night in the X Hotel chain which supposedly often comes up in the Y PriceLine zone cheaply to get to a status tier. So you bid a low price, and get the Z chain!

Has anyone ever, in that situation, booked a nearby hotel in the X chain as well and then checked into and out of both of them?

Wouldn't work if X is one of those chains that doesn't give any stay credit for PriceLine stays (read "Starwood"), but should otherwise.