Sorry to come a bit late into this discussion, but I have been busy giving a lecture on Saki to the Sohemian Society! (And I am also working on O Henry's short stories as this is his centenary year. Some interesting contrasts and parallels with Kipling!)
The Westminster Alice can be consulted on-line courtesy of the University of Michigan:
http://www.archive.org/details/westminsteralic00sakigoog
I note that they also have the Dolly Dialogues by Anthony Hope (author of the Prisoner of Zenda) who was one of Hector Munro's literary associates and who may have been an influence on him.
An enormous amount of material is now being digitised, via sources such as the Gutenberg Project (which has most of Saki's works, but not the Westminster Alice.) This should be done only with materials which are out of copyright, though I believe that some sources are being rather over-enthusiastic!
The Westminster Alice is in the King's College London library within the Foyle Special Collections. It also appears on the Website as the book of the month, with examples of the stories, complete with the illustrations. The blurb claims that the Westminster Alice was originally named the Not So Stories, but I am sure that this was a separate series.
With regard to sources for the latter, I can add no more to what has been suggested. I am sure that the British Library will be as useful as the Bodleian, however!
Best wishes to all
Tim
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Tim Connell
Professor Emeritus
City University London
07754 48 46 52
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