Because of the Dragon

The Pendlebury family, on holiday in Cornwall, meet a dragon which swims in from the sea. Mr Pendlebury decides to take it back to London where he keeps it in his garage. Eventually he is persuaded to exhibit it in the Albert Hall, from where it escapes and dives into the Thames, never to be seen again.

This was published as a serial in five parts in the News Chronicle, from 28 October to 1 November, 1935. It was spotted by Jamie Sturgeon who alerted me to it.
It has to be admitted that it is a highly implausible story told in a rather hasty style, so it is no surprise that it was never included in subsequent collections.