No, there is indeed a scene like that but in a flashback at kaer morhen and this is not a sex scene, from the look of it the unicorn scene seems to take place in Skellige.
I'm 87.34% certain that the opening scene of the game is Geralt's dream in which he becomes a part of Yennefer's Weird Ironic Unicorn Festival:
On top of that, the game opens with a sex scene, but that's not just for shock value and or titillation points. Oh heck no. According to senior designer Damien Monnier, that first sexual encounter is there for "...establishing that your character was intimate with this woman recently in order to plant in your mind that, at very least, he must enjoy her company. Through sex we have shown that this is a person who Geralt would be compelled to chase after if she went missing. Sex is the quickest way in which to establish the relationship and provide a justification for the player to pursue this woman.We couldn’t just tell you to go find someone you don’t know or care about. It wouldn’t work."
(source -- although there are a number of sites with this same info):
http://www.destructoid.com/the-witc...of-motion-capture-for-sex-scenes-287036.phtml
Otherwise that exchange between him and Vesemir "what about this Post Script? 'I still have the unicorn'?" would be simply a great reference for book readers but be a bit random/weird for people who'd only ever played the games. Also, the unicorn in the books broke, so I assume that the opening sexy-times involves it simply because it doesn't look broken and the whole thing is a dream/flashback. Her still 'having it' would imply that she's kept it
even after it's broken which most people wouldn't do even if it weren't damaged.
At least, I'm rooting for the opening scene of the game being the Unicorn Sex Scene simply because who other than CDPR would do that.
edit; and yeah, there is the Kaer Morhen thing, but it's a dream so I imagine that the dream might change or something a bit later. But they did say the opening scene is sex with Yen so this is what I'm thinking.