It seems to be a rare occurrence in the wild, but it has been recorded at least a couple of times in the literature.
There was a "Short Note" in an Austrian journal, Herpetozoa, in 1996. (Caution: I am not clear whether short notes are peer-reviewed.)
The paper, Lizards as prey of arthropods: Praying Mantis Mantis religiosa (LINNAEUS, 1758) feeds on juvenile Sand Lizard Lacerta agilis LINNAEUS, 1758, explains that generally it is rare for insects to eat lizards, outside of artificial enclosures.
According to our knowledge, there
are almost no observations available on
Central European insects preying upon
lizards in the wild (except TOMALA 1903).
They describe previous anecdotal evidence of praying mantises eating small veterbrates, but only found one example in the literature of a lizard being eaten - a report from 1903 of a Green Lizard being predated.
However, the note reports on their own observation, in 1995, of a praying mantis eating a sand lizard.
Within half an hour, the Praying Mantis had eaten up most of the trunk, leaving nothing but the vertebrate column. After having eaten its fill, the mantis finally dropped the
They include pictures.
I skimmed some documentary videos, looking for evidence that the lizard, Lacerta agilis is as agile as its name implies. I found this recording of one moving.