Mentioned in another post that I've been going through old emails to get those sorted out and came upon one from 2016 in which he was asked to do this by MasterClass.com so can now officially say, yes, he has.
He's been asked many times to do workshops on writing but has never had the time in his schedule to do one of the type that I think you're asking about. He's done class visits but those were more an opportunity for students to do a Q&A, not an actual teaching class. I think his book On Writing was, in part, intended to be his Masterclass available to anyone.
Edit: He was going to do one for Maine students when John Baldacci was governor and a personal friend of Stephen's but we were never able to coordinate his schedule with when it would need to be done.
The funny thing is, there is actually a course of writing with a collaborator. Should rename it, how to get someone else to write your book.