As I said in comments to Dave’s post, below, I can think of two essays in the “They (Almost Certainly) Never Said (Quite) That” genre.

Auerbach, Jerold S. “Woodrow Wilson’s ‘Prediction’ to Frank Cobb: Words Historians should Doubt Ever Got Spoken.” Journal of American History 54, no. 3 (December 1967): 608-617.

Somkin, Fred. “How Vanzetti Said Goodbye.” Journal of American History 68, no. 2 (September 1981): 298-312.

There’s a special pleasure in these essays, whose authors shy away from claiming to have proved a negative, but who tenaciously pursue clues and use deduction in as visible a way as possible to persuade you of their case.