Since the original idea for PoDD has already been mentioned, the other major example, and only Touhou game made by ZUN to be unavailable for play, is Touhou Gold Rush. Made after Impossible Spell Card, ZUN essentially made a game for an event in three days where Seija uses the True Miracle Mallet (not the fake one she uses in ISC) to rob Reimu in a brief, 2-3 minute game. Because it was made in a very short period of time and by ZUN's admission does not fit into canon (since Seija shouldn't be able to use the mallet), it was never released publically and only videos of it in a crowded venue exist.
In my opinion, the more intriguing piece of lost media for this project isn't the game, but the music used in it. ZUN stated that during the game, an arrangement of Little Princess plays in the background which he made specifically for the game and, to my knowledge, has never been released elsewhere. Since the game's audio is completely drowned out in existing videos, this song essentially cannot be listened to in any form. Though it likely is an instrumentation change like you often hear in the music CDs.
And on that note, one last piece of lost media, though technically it is not Touhou. The earliest prototype version of Shuusou Gyoku, the first Seihou game, had a different soundtrack than what was used in demos and the full game, with three exclusive tracks. While two of these were uploaded by ZUN to his personal website back in the day, one of them, "Frontal Attack," has never been released outside of this prototype. It can be heard in this video recorded by Shuusou Gyoku's creator, but covered up with sound effects and, I believe, does not fully loop. It is, I believe, the only known song made by ZUN to be truly lost media.
https://www.youtube.com/watch?v=mIPsX5kBVLc
