This is something Marvel's Thor does all the time:
So I was wondering: Has Thor/Mjolnir ever done anything like this in actual Norse mythology?
Yes, it seems so. In the Prose Edda, when Thor is presented with the hammer by Brokkr, this property is in the description (Page 147, here):
Then he gave the hammer to Thor, and said that Thor might smite as hard as he desired, whatsoever might be before him, and the hammer would not fail; and if he threw it at anything, it would never miss, and never fly so far as not to return to his hand;