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.)
Best Answer
Based on its usage, I would take it as a shortening of something like:
I'm accustomed to the phrase as a response of indignation in the face of behavior that is seen as inappropriate to one degree or another.