I’m not sure this counts as a musical collaboration or not, but according to a documentary about music from the James Bond movies, the producers of the films approached Amy Winehouse about singing the title song of one of the movies prior to her death. I couple totally imagine what it would have been like to have Amy belt out a Bond movie title song.
There is also a category of collaborations you wished happened before the collaborators were too far gone on drink and drugs to produce anything remotely listenable
E.g. Hendrix and Jim Morrison did indeed collaborate but in their “far gone” stage 
in the bootleg recording of their collaboration you can hear someone say “Jim, the microphone is over here”. It’s not all that
If I remember correctly, they did encounter each other when Beethoven was still a teenager. As I remember the story, Haydn had a pupil (Beethoven) who he knew was going to be prominent, and invited Mozart to come see for himself.
Also: We do in fact have an example of such a pairing, Mozart’s Piano Sonata #20 in D-minor. The cadenza (one of them, anyway) was composed by Beethoven and sounds for all the world like a mix of the two composers. It’s my single favorite recording of Mozart’s music.
I also like the version of “Love Ain’t For Keeping” with West better than the one on “Who’s Next”. It’s on the extended CD version of “Odds And Sods”.
In 2003, the Doors actually did a reunion tour, with Ian Astbury on lead vocals. (I saw them live in LA and it was one of the most amazing concert experiences I’ve ever had.) There was talk of them recording a new album at the time, but a legal dispute barred them from using the Doors name and nothing ever became of it. I wish I could’ve heard that album.
There also were rumors that Hendrix and Miles Davis wanted to work together. I would have listened!
What about Captain Beefheart, backed by the Rolling Stones, doing straight up blues rather than the weird stuff?
Oh, that would have been great! And Beefheart should have played some sax on that collaboration. (ok, then we’d be back to the weird stuff 
)
“Twist Ah Luck” from Buejeans and Moonbeams gives a glimpse of what it might have sounded like.
Billy Preston might have become a Beatle if those other guys could have gotten their shit together.
I think it would have had to have been in an alternate reality in which the Beatles weren’t already in the process of imploding when Preston started playing with them in 1969.
Reba McEntire and Dolly Parton. They did Reba’s hit Does He Love You in 2021, and I’m dying to see them get together for more songs.
Queen and David Bowie should’ve collaborated on a James Bond theme.
Wow, I just googled this, and found an entire “Door of the 21st Century” concert on YouTube! The couple snippets I watched sounded great; will have to watch the whole thing when I have more time.
Maybe this was the very concert you were at…? 
The one I went to was in either late 2002 or early 2003, at the Universal Ampitheater (which despite the name was an indoor venue). I’m not sure if this recording is of that show since it says 2004 on it, but maybe that’s just when it was released on video. I do recall lots of people rushing the stage during Soul Kitchen at the end, and that’s in this video, but maybe that was something that happened at every show.
ETA: I just looked up the Amazon listing for this video and it was filmed in Houston, so not the one I went to.
I’d have liked to see Victor Borge team up with Peter Schickele.
I would rather have liked to see a collaboration between Dave Cousins and Ian Anderson.
Both with deep roots in English folk tradition, but branches into experimental rock…
Then add Richard Thompson, and stir…