Good thing you caught her! LOL.
I don't breed my own feeders, but I've even had it happen once when I needed to buy a live rat for my picky eater. (It was a cute dumbo rat with light grey fur too, so too bad) He jumped straight out of the box when I opened it and ran halfway across the room before stopping... I guess confused where he was. I was still holding the tongs, and ended up catching him by the tail with the tongs.