
As I heard the story, before Albert came up the the theory
o'relativity and warped space, nobody could account for
Mercury's orbit.  It ran a little fast (I think) for simple
Newtonian physics.  With the success in finding Neptune to
explain the odd movments of Uranus, it was postulated that there
might be another inner planet to explain Mercury's orbit.  

It's unlikely anything bigger than an asteroid is closer to the
sun than Mercury.  I'm sure we would have spotted it by now.
Perhaps some professionals can confirm that.
