A lost episode? Like what? An episode that has never been aired, or one that hasn't been produced, but written yet?
I guess that there isn't one that hasn't been aired yet, because it would have been kind of stupid for FOX if they would own a finished episode and not air it.
They would waste money then.
As far as I know there have been ideas for the next one around (Groening and DXC still have ideas, at least they keep telling it to us, their fans), but FOX didn't order any new seasons, and therefore these ideas were thrown away, or at leased forgotten for this moment.
Also I can't imagine that there was any producing work already for a new one, since that would have cost to much money.
I remember we've talked about that quite often here, it shouldn't be hard to find a topic covering it.
I'd search for it, but... I am already in my Pyjamas.