I am not sure if it is true, but I was once told there is an exception to that law. Inside a star, there are lots of nuclear reactions. One such reaction (involving silicon, I think) destroys a miniscule amount of energy. no idea how it works, but I was told this, so I’d be interested to know if it’s true, if anybody knows.
My kneejerk reaction is that by saying it “destroys energy” they mean they can’t find out where it goes. i.e.: a tiny black hole is created just long enough and just big enough to allow a few billion photons to slip out. As far-fetched as this sounds it is easier for me to swallow than a violation of conservation of energy and matter. There are also probably many (less bizzare) explainations of why they lost some energy.