Claim: many fans have claimed to have heard some lost tracks
I suspect that the lost tracks mentioned in the album may be from one of two sources:
a) the original demo tape that was sent to 4AD, as several tracks from that demo ended up on Rollercoaster and Bridge, and several tracks were never released on any album. b) another demo somewhere that has not been ripped from its original media, as the Retrospective compilation album has demos for Helicopter and Brown Eyes, implying the existence of demos of other songs - recorded or not.
However, I dispute the claim entirely, especially since it's unsourced. I highly doubt though that people heard any tracks missing from the album. RHP notoriously "couldn't draw 20 people" before they were signed to 4AD, and Kozelek's hesitation to tour made it unlikely there were enough fans in the first place that one would've said something about missing tracks.
Finally, claim being true or not, it isn't strange for people to have heard songs from bands that never ended up getting recorded. From personal experience, a band will write several or even many songs that they play live, maybe even record demos of them, but don't properly record them for an album. Typically this is creative decision - maybe the songs wouldn't thematically fit with the other songs they want to record for an album, or maybe they stylistically changed and don't want to record older songs they wrote that don't sound like them anymore. But either way - especially for a DIY band or indie band like RHP before their 4AD tenure - hearing songs that bands don't record isn't strange or rare at all.