Is there any example of Borel cohomology group $H^n(G, \mathbb{R}/\mathbb{Z})$ for any $G$ such that $H^n(G, \mathbb{R}/\mathbb{Z})$ is a continuous group? Such as a Lie group?
Most of the examples I know, are $H^n(G, \mathbb{R}/\mathbb{Z})$ are simply $\mathbb{Z}_N$ or $\mathbb{Z}$ and/or products of cyclic groups. For example, I know that $H^2(SO(3), \mathbb{R}/\mathbb{Z})=\mathbb{Z}_2$, $H^3(SO(3), \mathbb{R}/\mathbb{Z})=\mathbb{Z}$. Let us consider the case that $H^n(G, \mathbb{R}/\mathbb{Z})$ for $n>0$.
p.s. Najib Idrissi's comment raises a good point that $H^0(G, \mathbb{R}/\mathbb{Z})=\mathbb{R}/\mathbb{Z}=U(1)$. This example is a trivial counter example. So let us consider and focus on $n>0$ case only. Many thanks.
p.s.2 - I mean the Borel group cohomology studied in, for example here in condensed matter phyiscs and here in a field theory language. Please look at their TABLEs.
Okay, I think I at least know what you mean now. Let me list the five things you could have meant by $H^n(G, \mathbb{R}/\mathbb{Z})$ (none of which have anything to do with Borel-Moore homology). Below I will write $U(1)$ instead of $\mathbb{R}/\mathbb{Z}$.
(Maybe I should've just known that you meant the last thing, but I didn't know that it existed before googling it carefully. This is not a thing that mathematicians learn about by default.)
If I'm reading this paper correctly (in particular the proof of Corollary 1.14), then in this case options #4 and #5 are isomorphic. In any case this agrees with the computations you've given already (see this MO question for the integral cohomology of $BSO(3)$). But I think the five options are genuinely different from each other in general.
In any case, if I'm right that options #4 and #5 are isomorphic in this case, then I believe that for a compact connected Lie group $G$,
So the answer to the question is no. Incidentally, $H^0(BG, U(1)) \cong H^1(BG, \mathbb{Z})$ is not $U(1)$; instead it is the group $\text{Hom}(\pi_0(G), \mathbb{Z})$. So that's not a counterexample either.