Interesting thought. In a fugue the voices intertwine so tightly that a hidden message could be tucked into the first entries or even the intervals of the subject. It’s tricky because every note has to fit the counterpoint, but a composer could use a recurring motif as a key or encode text with the intervals, like a musical Morse code. If you’re trying it, think about the first note of each appearance of the subject and see if they spell anything. Just remember the music still has to sing, not just spell.