Not having to be limited to the English Eastern seaboard, can be any colony in the New World that failed or got absorbed into something larger. Two that I think would have made history more interesting are the Scotish Panama colony, and the Plymouth colony. If the Plymouth Colony had not been absorbed into MA and became the 14th colony and then the 14th state, I wonder how the slave/non-slave balance would have been maintained, would Missouri have needed to wait for Maine?
So what are your missed colonies?