Pre-orders both in store and online have been cancelled one day before it was due to go on sale, according to Eurogamer.
"There is a lot activity going on in our stores and online this weekend including the releases of Syndicate: Executive Edition, Jak & Daxter Collection, Zumba Fitness Rush, Binary Domain, and Fallout New Vegas: Ultimate Edition," a GAME spokesperson told Digital Spy.
"The Last Story, for the Wii, is not in stock and we have apologised to any customers this has affected."
Customers are invited to return to stores to collect their refunded deposits, while the game's listing has been removed from GAME's website.
GAME had previously cancelled pre-orders for The Last Story's special edition, downgrading them to standard versions.
It is the latest in a series of problems for GAME. Earlier today, it announced 35 store closures and that it is going to shut sister website gameplay.co.uk.
GAME recently received lender support to alleviate financial troubles following apparent concern by publisher EA.
The high street retailer's shares plummeted by 90% in 2011, despite £1 billion in annual turnover.
> The Last Story sequels uncertain, says Hironobu Sakaguchi
The Last Story is a Wii exclusive role-playing game created by Mistwalker and Hironobu Sakaguchi, the creator of Final Fantasy.
It has recently been confirmed for release in North America.
Watch a character trailer for The Last Story below: