Musannaf Ibn Abi Shayba 21:124

Abu Bakr narrated to us, he said: Waki’ narrated to us, from Zayd al-‘Ammi, from Abu Iyas, from Anas, who said: The Messenger of Allah (may Allah bless him and grant him peace) said: "Supplication between the Adhan and the Iqamah is not rejected."