I would say it's a pretty safe bet you're not going to find anyone else that has tried liquid nitrogen
I have heard of the pepper thing before (specifically in relation to capsaicin). The few studies I have found on the pepper theory were utter bs (I recall one involved testing on ONE individual). Not to mention as this "method" has been around for quite sometime, if it had any merit we would all know about it by now.
Assuming its the same on the opposite end of the spectrum, I would say liquid nitrogen does nothing but give you a cold head.