The following is a (non-exhaustive) list of Sega games that have yet to see a release in North-America and Europe. We included Phantasy Star Online 2, despite it being officially announced, because its release seems less than certain nowadays.
Valkyria Chronicles 3
Yakuza Ishin
Phantasy Star Nova
Phantasy Star Online 2
Sakura Wars
Puyo Puyo Tetris
Shining Resonance
The following games were once part of the list above, but have since been released or have been confirmed for release in the west!
Yakuza 5
Project Diva F 2nd