Can you reject a postdoc offer after the PI has paid a large sum for flights/accommodation for your visit? I am being considered for a very nice industry scientist position but this involves many interviews and assessments and can take some time.

However I have also accepted an invitation to the US (I'm in Australia) to give a presentation in relation to high likelihood of employment as a postdoc in a research institute.

The postdoc supervisor has arranged for sightseeing and lab visits and hotels. I feel bad if somehow I wish to pursue the industry position.

Has anyone had a similar experience and have you turned down something like that before?
It sounds like you are in the interview phase with no stated commitment in the form of having accepted an offer. Having your travel expenses reimbursed for an interview is not in any way a commitment to accept a position should it be offered. This is a completely normal expense that's part of finding good candidates. It is not expected that everyone they offer a job to will accept. 

As long as you approach the interview in good faith, meaning that you haven't already accepted a job elsewhere, and that there is some reasonable non-zero probability that you'd take the job if offered, you shouldn't feel bad about having your interview expenses covered because of the possibility you might not wind up there.