I don't know if anyone has come across this before. I've seen it a few times in illustrations and computer games, and once on Takeshi's Castle, where a man dressed as a ninja was- as part of his costume- holding a scroll in his mouth.
I thought I'd share with you something that is probably the most obscure piece of information I know (out of everything, not just Japan!)
Some people think that this gives the ninja magical powers.
It is actually from an illustration of a Kabuki play, in which a ninja, "Nikki Danjo", transforms himself into a rat so that he can steal a list of people involved in a conspiracy. It is the scene where he transforms back into a human, still holding the scroll in his mouth, that was used to advertise this play.
I might be wrong but I wouldn't be surprised if that's something that not many Japanese people know.
So now you know!!! Never forget this.