Was a baseball ever hit out of a stadium?

Yes, you can. The area above and behind the last seats has a level defined as "out of the park" - the point that would have been over the back wall if there were no roof. Mickey Mantle hit the first home run in the Astrodome (the first closed stadium in MLB, and it was frequently described as being an "out of the park" homerun.

For example:

"The 400,000 square foot domed stadium, built under the supervision of former Harris County Judge Roy Hofheinz, was dubbed the "Eighth Wonder of the World" when it opened in 1965. Some Baseball fans speculated nobody would ever hit a home run out of the park, but Mickey Mantle proved them wrong during the very first game played under the dome."



http://www.khou.com/news/election/The-day-of-reckoning-for-the-Astrodome-230579541.html