Ok, I just came across this thread.
Having worked in cubeville for many years, knocking has long been the norm in my experience. Unless you see someone make eye contact with you or somehow indicate they know you are there, you cannot assume they know you are there. I have never had a problem with supervisors doing it, let alone co-workers and subordinates.
And to walk up and just start talking inches behind someone when they have not indicated they know you are there...that is inconsiderate and borderline rude, IMO. You do not know what you are interrupting.
Since the supervisor did it THREE times in a single day and got the same reaction from the OP, you might think she would think before she did it the third time. It shows she has no consideration of the situation. Her way is to walk into another person's work space and expect them to give immediate 100% attention in an instant. That is rude and unrealistic in many situations.
A simple knock, or "Hey OP, got a minute?" would solve the problem. That is not bending over backwards to accommodate the OP's situation. It is being considerate and polite when entering a colleague's work space to talk with them.
We do not turn off our emotions and natural reactions when we walk through the company door. We are still human beings. Being polite and considerate would make our work lives so much easier.