Shielding mains transformer to decrease interwinding capacitance
Sure, shielded transformers are readily available. They're frequently used in medical equipment and other noise-sensitive applications.

In a schematic, it's usually denoted by adding a dashed line passing through the core. It's usually connected to circuit ground.



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If you are constructing such a transformer yourself, you need to be sure that the shield itself does not form a shorted turn &mdash; it must NOT connect to itself after wrapping around the core.