....At least, according to some. Nothing official, mind you. But really, who is it that has the power to make these types of things official? Like breast cancer awareness month...?
Here's an article about the origins of short story month: http://www.pw.org/content/making_the_case_for_national_short_story_month?cmnt_all=1
I think it's a cool idea. Maybe make a point of supporting a short story author by buying one of their works this month.