Albert R. Corns - A Bibliography of Unfinished Books in the English Language (1915)
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That title promises never completed books like The Canterbury Tales or The Mystery of Edwin Drood but most of what's here is more along the lines of partially done county histories or abandoned scientific documentation (Natural History of the Quadrupeds of Paragua and the River La Plata anybody?) . Nevertheless there are still plenty of intriguing titles for those willing to go through it (and if you haven't guessed by now I'm that type of person).
Let's look at just the first few pages. Awilyai's Narrative of Travels in Europe, Asia and Africa in the 7th Century had only two volumes translated from Turkish - this turns out to be traveler Evliya Çelebi (he makes an appearance in Pamuk's The White Castle) and that's a typo which should read 17th century. The entire original work is still untranslated. Or William Assheton's 1694 A Conference with an Anabaptist: Being a Defence of Infant Baptism which was started as an argument against local meetings of that group but when they dispersed he never wrote the next volume. George Washington Abbott's 1878 Events in the Life of an Octogenarian seems quite optimistic to have been started and its incomplete status is given only the note "No more published". (I can find little about the book but from reading the first couple of pages it does seem to be a memoir and not a novel.)
Then there are mysteries such as Jean Adam's 1734 Miscellany Poems which its preface says is two parts, one in meter and one in blank verse, but since there's no blank verse present was there a second volume? And curiosities such as an 1852-57 Sanskrit "explanatory version" of Bacon's Novum Organum or an edition of the New Testament with "numismatic illustrations" that only got as far as Matthew.
And I can't help but wonder about Authentic Memoirs, Memorandums, and Confessions - Taken from the Journal of His Predatorial Majesty, the King of Swindlers (1820?) which sounds like it could be some Defoe-esque rogue's tale.