If you want an exhaustive list of PS2 RPGs your best bet is GameFAQs. Browse to the PS2, then pick RPGs under Category. A few games may be miscategorized sometimes - with SRPGs especially, you never know if they'll decide it's a strategy RPG or just a regular strategy game - but everything is there.
There are no "lost PS2 games". That's not a thing. The console was hugely popular in an era where the Internet was already established and its library is well-catalogued. The most obscure releases, typically, are Japanese games that only got an English release in Europe (happened with lots of budget games), but even those aren't lost.
As far as cancelled RPGs with playable demos, on the PS2, I'd be surprised. They'd almost certainly be covered on sites like Unseen64.net or Lost Levels.org. They have articles on cancelled games much older than that that only ever got like 3 screenshots printed in a Japanese magazine, so imagine a playable demo on the PS2.
There aren't a ton of RPGs on the PS2 with a female lead. Some of the Wild ARMs games come to mind. But if by "prominent protagonist" you meant "important female character", then that's every RPG.
