I got an email notification about a comment. I checked my blogger website but could not find the comment. I do not have any comment awaiting approval. What could be wrong?
It might be a spam comment, check the spam folder on the Blogger dashboard inside the "comments" section.
Do you have moderation turned on? If you do then you should not be getting notifications for comments classified as spam.
However - how did you check your Blogger dashboard: did you click the link form the email, or did you go to www.blogger.com and then go to comments? If the latter, then by default you start of the "approved" sub-tab, and need to click "Awaiting moderation" in the left-nav to see the ones waiting for approval.