I had the same thing happen to me last week. I had just about written it off as a phantom message, but then (after I'd forgotten about it), I clicked my User CP link (I think?), and above the list of Subscribed Threads with new posts, it showed a PM that I had apparently never clicked on. Once I opened that message, my unread message count went back to 0.
I'm not sure if it was the User CP page
or not, but somehow, I ended up on a page of notification messages that showed I had one PM still unread.