Ellen, I think there was a similar question awhile ago, and if I remember correctly , Unknown's don't show up in any of the searches because there are so many of them, it would 'break' the search or slow it right down.
You can find Unknown in the Surname list, if you type it into the box next to Jump directly to any surname by entering it here: but then there are over 200,000 of them, so it becomes difficult to find what you might be looking for because there are limited sorting options.
I'm also finding it a bit frustrating, many of the early EuroAristo profiles often have unknown as either their Last Name At Birth or Current Last Name or even First Name (they'll be entered as Unknown Charlemagne for instance). So when looking for duplicates of these profiles, I'm often sure there will be others with Unknown somewhere in their name, but they seem impossible to find, unless there are other search techniques, I'm not using.