There was an article published in a railway magazine in the early 1980's, in the April issue no doubt.
In it, someone who was a passenger on a train fell asleep and ended up in some carriage sidings. Awaking, out of the window they saw hundreds of mothballed steam locomotives. Not only that, the types were the ones at the very top of the preservation movements' list.
It was surprising that they did not see a load of GWR broad gauge locomotives as well.
Yes, this is one of the stories that has for some reason been re-told down the years, along with others such as there being a Blue Pullman set in a shed in Scotland (this came from the fact that they were listed as preserved on one Combined Volume when a group was trying to save one).
My honest opinion is that the SR, steam or otherwise, is just a myth. It appeals to the imagination, because let's face it, who wouldn't like to discover a Class 29, a steam locomotive, or in fact even something as mundane as a siding of 08s, especially if they were stored in "time capsule" condition from c 1968-69? I suppose the only outside chance of any such discovery would be if for some reason someone had managed to store a loco away and it had been "forgotten", but I can't even see such a surprise emerging. Though one or two locos on certain preserved railways seem to have almost fallen into such a state!