The complete question is already in the title but we shall provide some motivation as well.
We study generalized Fermat numbers defined by:
$$\mathrm{GF}(n,b) = b^{2^n}+1$$
where $b$ and $n$ are natural numbers and we are interested in cases where $\mathrm{GF}(n,b)$ is prime for high $n$. Be aware of the trivial identity:
$$\mathrm{GF}(n,b) = \mathrm{GF}(i,b^{2^{n-i}})\quad\mathrm{for}\quad i=0,\ldots,n-1$$
The special case $\mathrm{GF}(n,2)$ corresponds to the classical Fermat numbers. Note that these are all Fermat probable primes to base two (see below), but in all cases with $n>4$ that have been resolved is $\mathrm{GF}(n,2)$ composite.
Given a prime candidate $g=\mathrm{GF}(n,b)$ we first check if:
$$2^{g-1} \equiv 1 \pmod{g}$$
in which case $g$ is called a Fermat probable prime (to base two). We then go on to a deterministic primality test (which can be fast because the factorization of $g-1$ is known).
The question is if the last step is even necessary for $n>1$. For $n=1$ it is very easy to find numbers $\mathrm{GF}(1,b)=b^2+1$ that are probable prime but not prime (a situation in which we use the term pseudoprime); it happens for $b=216, 948, 1560, 4872, 8208, \ldots$ (OEIS A135590).
So for $n=2$ (which includes higher $n$ by the trivial identity above), are there any $b$ such that:
$$\mathrm{GF}(2,b)=b^4+1$$
is a pseudoprime (i.e. is a Fermat probable prime to base two but still composite)? Well, because by the trivial identity this includes the classical ("non-generalized") Fermat numbers $\mathrm{GF}(n,2)=\mathrm{GF}(2,2^{2^{n-2}})$ for $n>4$, the answer is yes. So we except the powers of two, and get:
Open question: If $b$ is even and not a power of two[*], can $b^4+1$ be a pseudoprime?
We have not been able to find any example (currently searched to $b<2.7\cdot 10^9$).
Heuristically, should one expect this to occur infinitely often (and with what asymptotic behavior)? For how long must we search?
Or maybe there is a simple non-existence proof?
This may have been studied before?
[*] Perhaps one should just require $b$ not on the form $2^{2^n}$.
Note: I have now cross-posted this to MathOverflow.