According to this website (all brackets excluding footnotes added),
As many other books this [i.e. Maseches Purim] to [sic] was banned, by many, most notably R. Shmuel Aboab (siman 193). Others who opposed these works were authors of Chemdas Hayomim, Beris Mateh Moshe and the Chida. At some points certain versions of Mesechtas Purim were even burned!
(His main reference is the book Parody in Jewish Literature, available online here. Rabbi Shmu'el Abuhab is here.)
This website says that Rabbi Ya'akov Yisra'el Kanievski wrote a Maseches Purim when he was young (though when it quotes Rabbi Abuhab it has the incorrect place as is obvious to whomever looks there).
More information and related links can be found here and here (yes, the last one is in Yiddish, but if you just click the links given and look at the pictures you can probably figure it out without knowing Yiddish).