Ive heard of Russian starets and monastic priests who could do this, I think its part of the history of St. John of Kronstadt.
However, I have also heard of Shinto and Shugendo priests in Japan being able to do this. So I would not base my faith on the apparent ability of a mystic to teleport himself. Because Psalm 95:5 LXX indicates the Kami and Buddhist deities such as they are are demons, and thus if these stories are true, demons are merely moving these people through the air, which the Gospels themselves indicate is a demonic ability (recall the rather Matrix like incident of relocation, wherein our Lord, while he was being tempted, was lifted atop a high mountain and then onto the roof of the Temple in Jerusalem).
Although mind you it would be a nice ability to have. The Shugendo form mainly involves moving effortlessly between mountaintops in Japan however, which does not sound extremely useful.