The short answer is no. There are no circumstances under which the convention should be broken.

Your example should be written:

"You wouldn't dare," Alexa hissed.

"God, no!" Corey shouted in chorus.

Or similar.

The convention is hard wired into the reader: new paragraph = new speaker. This 'rule' is extended by some writers to include action (or in action).

"Do something!" demanded Alexa.

Corey made no reply.

"Well?"

Corey shrugged.

"Are you a man or a mouse?"

Eye roll.

Slap!

See how easy that is to follow? Because the reader is aware of the convention.

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