In the master bedroom, when the AC (or just the fan) is on, cool air
comes
out of the medicine cabinet in the bathroom (through the slots that hold
the shelves inside of the medicine cabinet).

Our Master bath is on the main floor. Ground level. There is a full
basement below this floor and incorporated in the basement walls are cold
air returns which run between the studs, from floor to floor. These are not
generally "hard duct" but are simply channels between the studs, covered
over with drywall and in some instances and with a foil covered cardboard
type product in others, which channel air up from below and into the cold
air/AC return ducts.

If someone decided to drop a medicine cabinet in the wrong place..between
the "wrong" two wall studs, the occurrence you describe would happen....YMMV