One of his later plays, Other People's Lives, was in the category until recently. It's not even in the Bodleian Library. I've had 'want' alerts at abebooks.co.uk for more than 10 years, and it's never appeared there... until a couple of weeks ago! And here it is...
It looks very ordinary there, but you can't imagine (or perhaps you can) how thrilled I am to have it in my possession now. And it was still cheaper than your average new hardback (somebody obviously wasn't aware of its scarcity... or perhaps they thought nobody would care.)
Like a few other of Milne's plays, it was never published for readers. The only versions ever made were acting editions published by Samuel French, intended to be used by theatre companies, amateur dramatics societies, etc. This one obviously found its way to Waltham Forest Libraries at some point, but (having not been taken out since 1965, according to the stamps on the sheet inside) was put out for sale.
And is now in the hands of the person who will perhaps appreciate it the most!