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?
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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;