I don't think I've come across that before, but I'd say it depends on what is meant:

• I don't know what that thing is.
• There is a thing, but I don't know what it is.
• There is a thing such that I don't know what it is. I.e., I do not know what all things are.

There may well be some other ones, but I don't know what they might be.

Oddities and Curiosities of Words and Literature by C C Bombaugh, one of my favourite reads, feels like it might be an obscure book.