Here are a couple:
The Mercury Theater of the Air Presents the Assassination of Saint Nicholas (1939)
Listeners of radio's Columbia Broadcasting System who tuned in to hear a Christmas Eve rendition of Charles Dickens' A Christmas Carol were shocked when they heard what appeared to be a newscast from the north pole, reporting that Santa's Workshop had been overrun in a blitzkrieg by Finnish proxies of the Nazi German government. The newscast, a hoax created by 20-something wunderkind Orson Wells as a seasonal allegory about the spread of Fascism in Europe, was so successful that few listeners stayed to listen until the end, when St. Nick emerged from the smoking ruins of his workshop to deliver a rousing call to action against the authoritarian tide and to urge peace on Earth, good will toward men and expound on the joys of a hot cup of Mercury Theater of Air's sponsor Campbell's soup. Instead, tens of thousands of New York City children mobbed the Macy's Department Store on 34th, long presumed to be Santa's New York embassy, and sang Christmas carols in wee, sobbing tones. Only a midnight appearance of New York mayor Fiorello LaGuardia in full Santa getup quelled the agitated tykes. Welles, now a hunted man on the Eastern seaboard, decamped for Hollywood shortly thereafter.
Ayn Rand's A Selfish Christmas (1951)
In this hour-long radio drama, Santa struggles with the increasing demands of providing gifts for millions of spoiled, ungrateful brats across the world, until a single elf, in the engineering department of his workshop, convinces Santa to go on strike. The special ends with the entropic collapse of the civilization of takers and the spectacle of children trudging across the bitterly cold, dark tundra to offer Santa cash for his services, acknowledging at last that his genius makes the gifts -- and therefore Christmas -- possible. Prior to broadcast, Mutual Broadcast System executives raised objections to the radio play, noting that 56 minutes of the hour-long broadcast went to a philosophical manifesto by the elf and of the four remaining minutes, three went to a love scene between Santa and the cold, practical Mrs. Claus that was rendered into radio through the use of grunts and the shattering of several dozen whiskey tumblers. In later letters, Rand sneeringly described these executives as "anti-life."