Yes, it can happen.
One thing that will alleviate the issue is inter-winding capacitance (which is parasitic, but not always unwanted).
The other is the winding technique: as an example, if you have a two-layer winding, winding it from one end to the other and back again (which is the easiest way to make an inductor) will result in very high tension at the input and output. Winding it in one direction, making a "flyback" and winding in the same direction again will halve the stress.
As always with inductors, it's extremely application/implementation dependent.