I'm going to go out on a limb here and say no, not on home soil - unless you count joint press conferences with EU dignitaries.
While Steve Melnikoff's answer shows that David Cameron did give a solo press conference accompanied by the EU flag, this was taken at the European Council headquarters in Brussels in 2010.
The only examples I was able to find of British PMs appearing on home soil with the flag of the European Union alongside the Union Flag were under Tony Blair and Gordon Brown - in both cases when appearing with then European Commission President Barroso. In both cases, I think the flags could be interpreted to represent the presence of Barroso, rather than the UK's membership of the bloc.
Nevertheless, I'm not aware of any protocol which would forbid such an appearance, so it's entirely possible that it's happened at some point. For example, up until 2011, UK Government buildings such as 10 Downing Street, the Treasury, and the Foreign Office, flew the EU flag on Europe Day.
Blair appeared with the flag during an event at the Foreign Office in London in 2005 when the UK assumed the Presidency of the Council of the European Union:
A couple of years later, in 2007, Brown held a press conference with Barroso at 10 Downing Street: