How can a brick/color combination exist but not be part of a set?
Some of these pieces are released as collectors items (Gifts for Lego employees) or sold as novelties at LEGOLAND parks or stores pick a brick areas, others are from official Lego events (grand openings of stores, new LEGOLANDs, etc.) they are often given as gifts to people attending the events.  Some are test bricks that somehow made their way out of the factory to the Lego community.

They often have unique colors or images (there is a whole series of transparent/sparkle bricks that were made as tests for new colors and manufacturing techniques.)

The LEGOLAND parks and builders also have access to parts and color combinations not available to the general public for use in making new sets, if they are not used in a set I imagine some of these could also make their way to the larger community of Lego enthusiasts.