THIS woful History began in my study of the Pelham Papers in the Additional Manuscripts of the British Museum. These include the letters of Pickle the Spy and of JAMES MOHR MACGREGOR. Transcripts of them were sent by me to Mr. ROBERT LOUIS STEVENSON, for use in a novel, which he did not live to finish. The character of Pickle, indeed, like that of the Master of Ballantrae...