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It is just a comment of Tolkien, which means, that all things in LotR save the cats of Beruthiel and the names of the Blue Wizards (he surely means their names in Middle-earth), have a background-story elsewhere. LotR is an extract out of his created world. He included many many details, which are not explained in LotR but in other writings and he thinks that only these two things are missed.
Hope that helps.
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„I don't know half of you half as well as I should like, and I like less than half of you half as well as you deserve."
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