Mention #1 - LinuxFromScratch project
One place that it's mentioned is in the Linux From Scratch project. I found this page titled: /etc/issue (Customizing your logon).
The /etc/issue file is a plain text file which will also accept certain Escape sequences (see below) in order to insert information about the system. There is also the file issue.net which can be used when logging on remotely. ssh however, will only use it if you set the option in the configuration file and will also not interpret the escape sequences shown below.
Mention #2 - SecurityFocus Forum post
As additional evidence that this is not possible there is this excerpt from a forum post titled: Re: ssh and banners Aug 18 2009 01:20PM, that discusses the function that implements the printing of the banner in OpenSSH.
After doing some more digging, I found that there is a function in the ssh
source (specifically sshconnect2.c) called "input_userauth_banner" that
displays the banner from the server. The text of the banner is now being
filtered through another function called "strnvis" that encodes non-printable
ascii characters as printable text, ie: octal codes. This is why the ansi
escape sequence is displayed as "\033[". The documentation for strnvis
doesn't mention any security issues, only "unexpected behavior" that could be
associated with non-printable characters.
Mention #3 - OpenSSH Release Notes + RFC's
Lastly I encourage you to look through the release notes for OpenSSH. They're here as well as the RFC's that govern the SSH v1 & v2 specifications.
This RFC covers some of the behavior of the
Banner feature. This section "5.4. Banner Message" covers the details of why this isn't allowed. This paragraph is where is says this is explicitly disallowed.
If the 'message' string is displayed, control character filtering, discussed in [SSH-ARCH], SHOULD be used to avoid attacks by sending terminal control characters.
Additional references (per @hildred)