That would be possible, but quite difficult to do. You would have to conduct so much heat to the interior of the cap that the dielectric insulation between the two films was destroyed. Were you soldering it to a pcb, or point-to-point wiring?
If point-to-point, the lead length would help keep the heat from damaging the cap. If you were soldering it to a pcb, the leads would be quite short, but if you were putting that much heat to the joint you would probably see heat damage to the pcb as well, such as lifted traces or visible discoloring of the board.
Was it a new cap? What makes you think it's shorted?