Has anyone done this before?

It doesn't matter.

Just apply.

If others haven't done it, be the first.

You don't need permission of people here. Just rock the GMAT and apply guns blazing.

Saw someone from KC Law college with an INSEAD MBA on LinkedIn. So it's definitely possible.

100% possible and a MUCH better alternative to working your whole life in a Lala firm. Go for it and all the best!