What does the indicator look like? If it's sort of crooked/diagonal mail indicator it means SMS/MMS message, if it's a flat forward facing mail icon it means it's one of your emails.
The unread message is most likely in the Saved Messages folder. While in your messages, press the menu key and scroll to 'view saved messages". It will pull them up and hopefully you will find the missing culprit. That's how it happened to me, anyway. :P