In IBM Rhapsody's statecharts, are there situations where a transition between state A and state B could happen before the actions in state A finished their execution?
In UML and in Rhapsody actions cannot be interrupted - only behaviours (actions are atomic). So even if you have an interrupt-able region in an activity diagram you cannot stop an action in the middle - you can only interrupt the activity and make the control flow "jump" out of that region.
What you could do is create a behavioural classifier on the entry action or call an operation with an activity diagram and then send an event to interrupt its behaviour.