Thanks to a wonderful list from Zi-Ling Yan (sent in 2022 but I just got to it) I added twenty authors to the Fictional Footnotes and Indexes list. All did footnotes, and all were mystery and pulp writers from the first half of the twentieth century: John Dickson Carr, Kendell Crossen (who created the crime-fighting Buddhist superhero the Green Lama), Ellery Queen, Dorothy L. Sayers and others.
Also noted: Effron, Malcah. “On the Borders of the Page, on the Borders of Genre: Artificial Paratexts in Golden Age Detective Fiction.” Narrative 18.2 (2010), 199–219. DOI: 10.1353/nar.0.0046.
UPDATED a couple of hours later: added over a dozen more, thanks to another great list.