No. Think about it: Lightning travels thousands of feet through the air. It's not going to stop because of a loop of cable. You are dealing with a huge amount of energy that's trying to find it's way between ground and sky. A few fractions of an inch of cable insulation isn't going to make a difference in a direct strike. I've read some of the justifications for doing this, but I don't necessarily agree with it. I can -kind of- see what some of them are saying about induced energy, but I'm still not agreeing. I've never seen it done at a commercial LMR site, and I've never seen it done at the very few FM broadcast sites I've been at.
Nothing is going to replace industry accepted standards for lightning protection. That means proper grounding, lightning protectors, more grounding, and proper installation. Probably not going to hurt anything to put a loop in the coax if you really want to, but pay attention to how that can act as a choke and don't rely on it for lightning protection.