Probably, but; I never heard of that with a factory shell. I have seen or heard of 12,16,20,24,28 and 32. (In know I skipped 14) Assuming a normal progression +4, get you to 36. That would be next. Like you, I never heard of a 36.
Did you try google? This turned up with Google. How hard was that?
"Marland is correct. The .410 is not really 36 gauge - if I remember correctly it is 67 gauge - but for reasons that nobody understands, it has always been known as 36 gauge in Europe. "