This actually happens to me quite often, but the e-mail doesn't disappear permanently.
This is what happens to me:
I always have push turned off and fetch set to manual. So when I'm checking my e-mail, the e-mails start to download in the mail app. So, you know, I'll have lets say 5 new e-mails. I can see the all 5 e-mails threaded in my consolidated inbox. I start at the bottom and work "upwards" , and the little unread number notification will go down accordingly.
Inevitably, when I get to number 2, once the text of the e-mail downloads fully, it will suddenly become the top e-mail. I'll go back to the inbox and that first e-mail will suddenly be gone. If I get out of mail, and go back in, it will usually re-appear, and usually be one of those e-mails where for some reason the body of the text didn't download and you have to manually download it.The situation in which this happens to me is usually only when I'm in a poor reception area, so I always chalked it up to that.
This has happened on all of my iPhones as far as I can remember.