Pretty unusual, but plants do occasionally make little mistakes like that. It has to do with the structure of cucurbits. The actual fruit forms within the end of the flower stem. While the flower stem is normally leafless, one in a thousand blooms will have a little "oopsie", and produce a leaf on the flower stem. If that flower is a female, and the leaf is in the right place, you might wind up with a cucumber with a sail!

Thank you very much ....one in thousand eh?...

A guesstimate, I'll admit. I wouldn't know how to look up the actual statistics. As a Master Gardener and a professional nurseryman, I run into vegetable oddities of various kinds a couple times a month, though that particular one I have seen only twice in my 30 year career.