I guess this is a very localised urban legend, but where I’m from in Australia we have a large national park nearby. There were myths when I was growing up that there were panthers roaming about there. Oddly enough there’s a lot of ‘big cat’ sightings around Australia in general.
Apparently it’s true at least that some panthers were actually brought over a long time ago. Whether or not there are still any left, I’ve no idea.