Skyrim is my first Elder Scrolls game so I don't know a lot of the lore. Are there any creatures or enemies that are known to live in Skyrim, but have yet to make an appearance in the game?

Werebears and the Grahl off the top of my head. Or at least I think the Grahl could be found in Skyrim.

Skyrim added enemies to the lore, so far as I know.

Volikhar nonwithstanding.

EDIT: Ninja'd. Grahl were on Solstheim, but I don't think we have any records of Skyrimese Grahl. Still no excuse, but I digress.

The Gehenoth.

Snow Whales and Dirtbirds

Although we do fight a snow-whale in his manskin.