The Twain quote along those lines that I am familiar with is

"My life has been filled with many tragedies, most of which never
occurred."

I don't know the origin.
I used it once in an online essay, so there is a fairly good chance that
I confirmed it (or found it from a reputable source) at the time.
http://www1.wfubmc.edu/Oasis/Issue+1+-+October+2006/Ober.htm
(This link is to my essay, by the way, not to a reputable source.)

My quick Google search shows that the exact quote is also used at the
beginning of chapter 4 of a book "The Curse of the Self" by Mark Leary,
Oxford Univ Press, 2004.

And also in a journal article "Episodic Memory" by N.S. Clayton in the
journal Current Biology, 2007.

All three attribute it to Twain, but one of those sources mention where
it came from, though.

Pat Ober