I found this story on Futility Closet's blog here. The original source was The Gentleman’s Magazine, January 1820.
"Oxfordshire’s annual stag hunt took a strange turn in 1819:
"Dec. 21, being St. Thomas’s Day, as usual, a stag was turned out from Blenheim Park, the property of his Grace, the Duke of Marlborough. It directed its course towards Wickham; from thence it took the high road and proceeded to Oxford; and then formed one of the most beautiful and picturesque sights that can be imagined.
"The stag, and dogs in close pursuit, followed by a great number of well-known and experienced sportsmen, proceeded up the High-street, as far as Brazenose College; when, to the no small astonishment of hundreds of spectators, the stag took refuge in the chapel, during divine service; where it was killed, sans ceremonie, by the eager dogs."
Bad form, old chap, bad form.