Earlier answer: Not only does empirical testing not substantiate this, I had a hard time coming up with any explanation that could explain it if it did. The sensor cleaning function works on the AA filter in front of the sensor. There's no direct physical connection between the AA filter and the sensor, let alone something that might operate at the pixel level. I vote myth on this one.
Newer answer: On some cameras, they actually turn the sensor “on” during sensor cleaning, without actually activating the light collection on the sensor. It appears that on such cameras that the process of having the sensor active without collecting light does sometimes have impact on hot pixel production.