I think he was just addressing threats. Of course you could inherit an island complete with harem from a uncle you never knew you had but you can't really prepare for that either.
We can take McVeigh and the OKC disaster for example. Sure the Army knew he was a nut since he failed the psych eval for Special Forces and maybe should have done some follow up but other than that the explosion was pretty much out of the blue and damn hard to prepare for. Those are the kinds of things that would fit in the unknown unknown threat category. I'd prefer the harem and maybe even the island but that's just me.
By the way I'd rather have the government telling me that there are things they don't know about and may not be prepared for rather than the way the USSR and later the Russians handled things. Look at the Kursk for a fine example. That hit close to home because I used to play bump in the night with those guys (I was on the far superior US side of the submarine game). The Russians told their people they had all the expertise in the world when in truth they are third rate at best in deep underwater rescue. They went so far as to turn down help that very well could have saved the men in the aft compartment out of pride and some ignorance.
Time to finsh my workout.