This scenario is possible with Stop and Entry Stop orders as they are not guaranteed.
A position may open at the next available price when there is a sharp movement in the market, when the market opens with a gap (usually after a weekend or a trading break), or during large market moves such as during a news release.
For instance, you are long EURJPY, with an open price at 125.70 and a stop loss at 125.50. Assume that EURJPY is trading at 125.82 before Japan releases their interest rate decision. At the release of the news the market drops from 125.82 to 125.339. In this case, your stop loss will be executed at 125.339, which is the next available price as there is no trad-able price between 125.82 and 125.339.