The ‘Perseus’ spy was allegedly the only spy to give information to the Soviets during WWII that was never caught. The Manhattan project had several spies that were eventually named and captured, but Perseus remains a mystery to this day, if they even existed at all. Evidence for their existence lies in KGB archives that were briefly revealed in the 90s.
Above are two people linked to possibly being the spy (though never proven): Theodore Hall (left) and Phillip Morrison (right), both of whom were researchers for the Manhattan project. Morrison was publicly accused of being Perseus in 1999, but all allegations were denied.