Nope, never heard of it either, as far as NA's using them. Ceramic arrowheads are not uncommon (johnstone, etc.) and I don't see why you couldn't make one of clay and then fire it in a kiln. It would probably work well enough and would be similar to bone I guess.
I guess the only reason you wouldn't want to use clay is if you had something that was easier to fashion into an arrowhead....and easier to process. Making clay from scratch, and then firing it, is not as easy as it sounds.