Saeviomagy
Adventurer
Mythbusters proved that won't work. On the other hand if its a fantasy poison, who's to say that it wouldn't? (The story in question was from the American Civil War, where it was claimed that a bullet (mini-ball to be exact) hit a soldier in the leg, bounced up off the bone and through his junk, then proceeded on for a hundred yards or so and lodged in the abdomen of a woman watching the battle from her porch and impregnating her.) Watch it on YouTube if you're interested.
In that test they were only looking for live sperm, which are significantly less durable than your average poison compound, let alone if you were specifically looking for something to coat a bullet with that would make it to the target.
My thoughts on this are that it's possible, and that in the real world people don't do it because it's unnecessary: if you hit someone with a typical bullet well enough that you would transfer poison, they're already more incapacitated than the poison is likely to make them in any reasonable period of time.
That said, there are accounts of using poisoned bullets: but they typically take the form of the victims of said bullets complaining that their foes are fighting dirty by poisoning bullets with things like feces or arsenic, and it makes their wounded harder to treat, rather than having any immediate effect.