Actually, I don't think that's known to have ever happened. The Allies protected Ultra intelligence by parallel construction--coming up with other means to 'discover' the same information (principally, sending a reconnaissance flight to the known location of wolf packs).
The main claim for this myth is the sacrifice of Coventry during the Battle of Britain, but as far as I'm aware, historians are in general agreement that Ultra was unable to ascertain that Coventry was the target before the raid took place.
"In his 1974 book The Ultra Secret, Group Captain F. W. Winterbotham asserted that the British government had advance warning of the attack from Ultra; intercepted German radio messages encrypted with the Enigma cipher machine and decoded by British cryptanalysts at Bletchley Park. He further claimed that Winston Churchill ordered that no defensive measures should be taken to protect Coventry, lest the Germans suspect that their cipher had been broken."
And the Wikipedia article immediately goes on to detail refutations of that claim:
> Winterbotham's claim has been rejected by other Ultra participants and by historians. They state that while Churchill was indeed aware that a major bombing raid would take place, no one knew what the target would be.
[then follows three paragraphs of more detailed refutation]
The main claim for this myth is the sacrifice of Coventry during the Battle of Britain, but as far as I'm aware, historians are in general agreement that Ultra was unable to ascertain that Coventry was the target before the raid took place.