Yes with a but...
I can't specifically recall any ships ever actually engaging in a ship-to-ship battle in the immaterium. Possibly the Eisenstein?
But even if two enemy Imperium ships met in the warp, there would very likely no combat at all, the risk is just too high.
Imperium ships are protected from the inhabitants of the warp by a Gellar Field, which encompasses their ships in a bubble of real space, shielding them from the warp. If a ship was to engage in a battle, powering weapons batteries, shields and tactical maneuvers would all divert power from the Gellar Field, risking it's failure. In fact a ship which could power all four simultaneously would have to be monstrous in size.
Plus there is the obvious risk of the field being knocked out by enemy fire.
Theoretically however, Orks could blow chunks out of each others ships and still be protected from the creatures of the warp. It's their innate collective psychic power that repels any demonic incursion, not any technological field or barrier.
Eldar, Necron and Tyranid ships don't travel in the warp at all.
Thanks to CyanAngel for the comment:
Tau use Warp skimming, similar to pre Age of Strife Mankind, alot slower then travelling through the Warp, but removes the need for a Gellar field.