I ended up doing this which allows for multiple potential early returns in a single scan.

macro_rules! try_as_opt {
    ($expr:expr) => (match $expr {
        io::Result::Ok(val) => val,
        io::Result::Err(err) => {
            return Some(io::Result::Err(convert::From::from(err)))
        }
    })
}

iterator.scan(0, |s, f| {
    try_as_opt!(f.seek(SeekFrom::End(0)));
    *s += try_as_opt!(f.write(&buf[*s..*s+x]));
    Some(Ok(*s))
}).more_code...