Jerry Jackson--executed yesterday for the brutal rape and murder of an 88-year-old woman--did order a special last meal, but opted to keep it a secret from the press.
Amazingly enough, the state of Virginia does allow this. Each state has different rules regarding the last meal procedure; some allow inmates to order fast food or request a meal made from ingredients bought at local stores. Others only honor requests for food available in the prison kitchen at the time. In Virginia, the condemned person has to pick and choose from items on the prison's rotating 28-day menu, but it's also one of the few states that allow the inmate to keep his last meal a secret. (Yes, Virginia, there is a confidentiality clause)
Given the option, I think I'd rather have steak and lobster and broadcast my meal to the world rather than nibble on soggy fish sticks or mystery meat in private.