It has happened, but it has been decades. Michel Bergeron was traded from the Nordiques to the Rangers in the late 80s - I think the Nords got a first out of the deal. Terrible trade for the Rangers, as Bergeron lasted slightly less than two seasons before being fired.
In today's NHL, I just can't see a team giving up significant draft capital for a coach. We are in an era now where coaches are more disposable now than ever before for the simple reason that their salaries don't count against the cap. If Pittsburgh wants to be rid of Sullivan and his contract they should just fire him instead of passive-aggressively trying to get him to quit by canning his assistants. That's a weasel move, one perfectly in keeping with Dubas' character. Once they fire him, another team will likely hire him, thus taking most if not all of his salary off the books for Pittsburgh. (For the Fenway Group, Sullivan's salary is a rounding error anyway.)