This probably doesn't answer the question properly but I do wonder whether anyone has EVER turned up in Hampden Park (Eastbourne) wanting the football stadium in Scotland.
Stamford Bridge in Yorkshire regularly makes the news with people ending up there, or en-route up the M1, looking for Chelsea.
I bet some muppets have gone to Leicester Square instead of Leicester over the years.
I'd be shocked if some American tourists hadn't, given their tendency to use street names without the suffix (street, road, square) and the potential for a little Northern Line confusion at St Pancras.
I know of someone who once ended up at Luton Airport when they wanted Gatwick Airport.
Stratford frequently gets tourists looking for Stratford Upon Avon.
I guess it's lucky Caernarfon/Caernarvon doesn't have a main line station any more, given how frequently it's confused with Carmarthen, but I'd be willing to bet a significant sum that some had ended up at the latter while trying to get to the former. I wonder if the Welsh Highland have ever had any issues?