I've done it and I'm from NY.
More or less, dipping my sandwich is always something I do, no matter what kind of sandwich or soup combo I get/make. A lot of times, I'll have leftover chili (or any various soups) and no lunch meat on hand, so a PB&J it is.
It isn't bad, tbh. Sweet and salty meets spicy.
I also dipped my PB&J in soups at school. I rarely chose the other sandwiches because the school inevitably always chose the cheapest lunch meat possible and it always had funky, questionable chunks of fat or gristle in it. So, I got very used to the sweet/savory pairing.
Plus, the white or wheat bread they used was always dry so it was nice to be able to soften up the crust part with soup.