Messenger of Allah ﷺ said thrice, "There is a prayer between the two Adhans (Adhan and Iqama)," and added, "For the one who wants to pray."  

أَنَّ رَسُولَ اللَّهِ ﷺ قَالَ بَيْنَ كُلِّ أَذَانَيْنِ صَلاَةٌ ثَلاَثًا لِمَنْ شَاءَ  

"When the Mu'adh-dhin pronounced the Adhan, some of the companions of the Prophet ﷺ would proceed to the pillars of the mosque (for the prayer) till the Prophet ﷺ arrived and in this way they used to pray two rakʿat before the Maghrib prayer. There used to be a little time between the Adhan and the Iqama." Shuʿba said, "There used to be a very short interval between the two (Adhan and Iqama).  

كَانَ الْمُؤَذِّنُ إِذَا أَذَّنَ قَامَ نَاسٌ مِنْ أَصْحَابِ النَّبِيِّ ﷺ يَبْتَدِرُونَ السَّوَارِيَ حَتَّى يَخْرُجَ النَّبِيُّ ﷺ وَهُمْ كَذَلِكَ يُصَلُّونَ الرَّكْعَتَيْنِ قَبْلَ الْمَغْرِبِ وَلَمْ يَكُنْ بَيْنَ الأَذَانِ وَالإِقَامَةِ شَىْءٌ قَالَ عُثْمَانُ بْنُ جَبَلَةَ وَأَبُو دَاوُدَ عَنْ شُعْبَةَ لَمْ يَكُنْ بَيْنَهُمَا إِلاَّ قَلِيلٌ