There are a number of Subaru WRX police cars (even some RCMP cars in Canada).

I doubt the Skyline story though -Most of them are grey market cars, unless they are one of the (very) few that MotoRex actually did the legalization work for.
I did see a nice gunmetal R34 in Vegas a few years ago. I'm sure that it's been confiscated through the NHTSA by now...