Yes - I remember Koko naming her kitten as "all ball" (kinda like "fur ball"?!).

I'm not sure if a wild animal has ever been observed to have a pet, but I guess many intelligent animals value playfulness and companionship, and have evolved to have tolerance and empathy, so judging by Twitter, etc, it doesn't seem that rare to have inter-species friendships even between animals that might be considered as predator and potential prey.