I had one a while back on the par 5 Congo 6th, the water hole. My ball rolled off the far right front of the green, through the fringe and came to rest on the top of the concrete barrier wall of the water. It said Unplayable Lie and it dropped me back to the fairway on the other side of the water, where you would normally be dropped if you actually put it in the water. There was no penalty stroke. Only time it has ever happened to me .
If you are in a situation where you know you have a high chance of losing an expensive ball, I would just concede the hole, or if playing solo, just quit the game.