Short Sale to REO. Can you Buy it before it gets converted?

I just recently had a short sale that did not get completed by the time of the sale and because I was not the agent on the selling side of the short sale I could do nothing but watch my clients hopes fade as there purchase went to auction. I would have tried to collect a buyer to pick it up at the auction had I known that it was headed there, but I was informed the evening before the auction (long story short, but you get the point). At auction no one bought the property as it goes for the majority of the homes in our current market, so we are trying to get a hold of the property to purchase before it goes to the REO department of the bank. I know it takes a while for the conversion with some banks and my clients are not willing to wait. I have never attempted this and I have no clue if it is at all possible, but I am asking if anyone knows of a situation were it has happened that a property has been bought in-between the auction and the return to the bank. IF so what did you do to make it work or am I just beating a dead horse and I should tell my clients to move on or wait until it becomes a REO? We have contacted the Trustee for the file and they are looking into it, but I would love some second opinions.