Welles also mentions wanting to do a film of Ben Hecht's short story The Shadow. I tracked it down at the library and it's a good little 12-page read, with a doppelganger theme of the type that ran through some of Welles's work. He actually did do it on radio, but changed the title to 'The Marvelous Borastro'. I think it's likely Hecht wrote the original story with Welles in mind:
"... But Sarastro was the true charlatan and one forgave him this. One even demanded it of him.
--Often, while listening to his Mother Goose mysticism, his Munchausen adventures, his garbled and pompous chatter of genii, sylphs, and undines, I have grown annoyed at my own skepticism. How much more marvelous was the Marvelous Sarastro if one believed him? How much more entertaining this Arabian Night in which he lived, could one accept it with the heart of a child rather than the dull incredulity of a modern author." (from 'The Shadow' in The Collected Stories of Ben Hecht, 1945)