What is the exclamation “Why, I never!” a contraction of?

Why, I never have heard such nonsense!

Why, I never saw such a foolish thing!

I usually hear or see “Well, I never!” rather than “Why.” It’s one of many expressions that are meant to convey a thought without voicing it explicitly; for example, those that are meant to suggest profanity, such as “My gosh.”

This one could be expanded to “Well, I never heard of such a thing.” I think it is probably cut off to suggest speechlessness—implying that the shock or disbelief is so great that the speaker is unable to express it.

It’s also typically used in an exaggerated way, such as when you think you’ve been insulted in a social context, especially if you’re in a British comedy. It may be accompanied by “Hmph!” and may require marching out of the room in a huff. You wouldn’t say it if you truly were deeply shocked, such as by a horrifying event.

“Well, I never in all my days have seen a contraction that was more than simply “Well, I never!””
(And, I believe, that is a good example.)

It isn’t a contraction. It is a phrase. And the unexpressed part depends on what the speaker is reacting to:

“Why I never heard of….” if one hears a story, or “Why I never saw….” if someone just witnessed something.

“Why I never felt….” if one has a novel sensory experience.

“Why I never smelled….” if one is in a perfume factory or in a gas station bathroom.

“Why I never tasted….” if one is given liver or a truffle.

It’s an outdated phrase you’ll hear on a show like “The Andy Griffith Show” or any old show where they’ll show an elderly lady clutching her pearls when she’s insulted, or shocked.