I suppose that, in theory, a catalogue of highly improbable faults in both the charger and the phone could cause a metal part of the phone casing (if it has any) to become live, rather than something melting or a fuse blowing. However, you would get a shock as soon as you touched the part, which would most likely be when you unplugged the charger, rather than when answering a call.
It's maybe a tiny, tiny fraction more likely than the one about mobile phones potentially causing fires at petrol stations.