The exclamation "Why, I never!" is a well-worn exclamation (I think more common in Britain than in the US?), often used to express indignation upon having been accused of something.
The structure of the sentence suggests that this exclamation is a contraction of something like "Why, I never [verb]!" or "Why, I never have [verbed]!". I know that there may not be a canonical verb in the original sentence that was contracted to give this exclamation, but I was wondering what possibilities might exist.
(It's worth noting that it is difficult to search for this exclamation, because it tends to be swamped by unrelated constructions like "Why I never walk alone at night" and things like that.)