Preface: Missingno
Before beginning the topic of missing pokemon and what little we can truly know of them, it may be wise to talk of the urban legend that is the most popular, and for many the only, example of a pokemon known through oral record alone.
What is a missingno? A spooky story passed around by grade schoolers trying to scare each other.
Yes, Virginia, and Santa isn't real either.
Missingno's relevance from a scholarly perspective is as a cautionary tale about just how little stories have to do with the truth. The earliest record of a missingno-type story appears after the 1994 explosion at the Cinnabar labs, and it only really gets going as a "missingno" after the investigation and discovery that a new pokemon, with a numbered name no less, had been created in secret and is now running amok who knew where. If there was one, why couldn't there be more? The anxiety around the limited information about the secret creation of any pokemon ferments into concerns about the concept of unknown pokemon being created, and it becomes a new story about something that's less a pokemon and more an empty space where a pokemon should be. In a way, missingno is the inverse of the real missing pokemon, who so often slide out of this world with little left behind to remind us they once were there.
The invented nature can be shown in the rarer variant where the featured monster is referred to only as an "m". The oldest and presumable originator of the Internet "m" stories has the supposed first-person witness emphasizing repeatedly that they're afraid to go into too much detail for fear of some conspiracy changed with covering this up finding the post, and they explicitly say that "m" is an alias they chose. The "m" is, in context, a different way to play with the concept of numbered pokemon, as the narrator claims that the nightmarishly violent mewtwo was an attempt to make a weaker, more controllable second version of their original prototype. When the mewtwo escaped, the containment on the single-letter "m", ie, the mewone, broke. Unfortunately, the story's only brief popularity was on a messageboard full of schoolchildren, and so it seems their takeaway was that pokemon did not normally have single letter names and so a single letter species of pokemon was spooky, and ran with that instead. This reasoning also lives on in the the occasional missingno story where the focal creature is "p" or "8" or glitched text, and is particularly represented in intentional parodies, such as the exaggerated "4 4 THE ULTRACUBEDDEATH!1!4!" which kills everyone in the world including both the narrator and other readers of the story due to the memeic association of "four" and "death", and subverted "gg", where after a lot of hype the supposed horror is revealed to be that it always says "gg", an abbreviation for "good game" which itself is a shorthand for a display of good sportsmanship, after beating the trainer's pokemon.
It's tempting to believe that some incidental details that recur across missingno stories might be a sign there's some crumbs of reality in there. Perhaps how people report seeing it in the broad vicinity of the local gym could lend some validity to the rumors about the gym leader at the time being involved in the fiasco? But for those familiar with other urban legends, places like "in the alley near the gym" are like "on my way to/from the pokemart", commonly used because they're the first thing to come to mind as stock settings to make a story sound plausibly detailed. The gym leader's supposed connection is simply the result of him having the bad luck to be the same town as the lab and a well-known local figure. Perhaps the fact the stories vary so widely on what it looks and sounds like might mean there's multiple, or perhaps some sort of ditto-like entity? No, the description just recycles common horror elements seen in unrelated stories at the time. Skeletons, ghosts, a trainer who doesn't look or sound right, and the old standby of vague sinisterness, psychic horror preventing you from seeing what's there at all? These all predate missingno stories. They're elements humans go to again and again when making up stories.
While it is a fact that there are some pokemon that once lived and are no longer with us, not all stories are true. And even pokemon that provably did exist can be drastically misrepresented in the stories that survive them. One must take care not be too credulous when dealing with tales of missing pokemon.