<PERSON>'s answer to this question about why <PERSON> chose Baker St. claims
All the streets and districts of London mentioned in the <PERSON> stories existed at the time.
Many of the London street names mentioned in the <PERSON> stories are indeed real. But some are not. Below, I list some that seem to be fictional. Admittedly, some references to streets might be to streets that have disappeared or been renamed. I based my searches on a London A-Z, Google Maps (rejecting any names where the only match is a street which, to judge from the buildings either side, obviously didn't exist when the story was published), and two lists of changes to names of London streets.
Lord Street, Brixton (Black Peter)
Ratcliff Highway (Black Peter) [Ratcliff Highway is a former name of The Highway, in the borough of Tower Hamlets.]
Caulfield Gardens, Kensington (Bruce-Partington Plans)
Lower Burke Street (Dying Detective)
Turpey Street, the Borough (Hound of the Baskervilles, ch. 5)
Lyon Place, Camberwell (Case of Identity)
Ivy Lane, Brixton (Naval Treaty)
Great Orme Street (Red Circle). This seems from the context to be a fictional name for Montague St:
Great Orme Street, a narrow thoroughfare at the northeast side of the British Museum
Howe Street near this Great Orme Street (Red Circle)
(Saxe-)Coburg Square and Pope's Court (Red-headed League). Pope's Court is possibly a fictionalized alteration of Poppins Court.
Serpentine Avenue and Serpentine Mews (Scandal in Bohemia)
Godolphin Street (Second Stain). However, Godolphin Rd exists and seems to be old enough
In the following extract from chapter 3 of The Sign of the Four, the street names are a mix of real and fictionalized.
"Rochester Row," said he. "Now Vincent Square. Now we come out on the Vauxhall Bridge Road. We are making for the Surrey side, apparently. [...]"
"Wordsworth Road," said my companion. "Priory Road. Lark Hall Lane. 570
Stockwell Place. Robert Street. Cold Harbour Lane."
Rochester Row, Vincent Square and Vauxhall Bridge Road are real. Then Wordsworth Road could be Wandworth Road, fictionalized. Moreover, as <PERSON> points out, some of the other street names mentioned later were real or could be fictionalized forms of real names of streets along the cab's journey if we suppose that <PERSON> didn't mention every street along the way. In further detail: the cab might have gone along Parry Street (not Priory Road), South Lambeth Road, then some other street (possibly Priory Grove) to Larkhall Lane, then other streets to Stockwell Road, then via Sidney Rd to Robsart Street (formerly Robert Street), then via some other street to Coldharbour Lane.
Pinchin Lane, "down near the water's edge at Lambeth" (Sign of the Four, ch. 6)
Bond Street, Knight's Place and possibly Miles Street (Sign of the Four, ch. 7, 8).
We had traversed Streatham, Brixton, Camberwell, and now found ourselves in Kennington Lane, having borne away through the side-streets to the east of the Oval. The men whom we pursued seemed to have taken a curiously zigzag road [...]. At the foot of Kennington Lane they had edged away to the left through Bond Street and Miles Street. Where the latter street turns into Knight's Place, <PERSON> ceased to advance [...]
London has streets of these names, but none anywhere Kennington. There is a Miles Street a short distance west of the Oval, and a Bondway near it (thanks to <PERSON> for finding Bondway).
Laburnum Vale, Chiswick (Six Napoleons)
Lauriston Gardens, "off the Brixton Road" (Study in Scarlet, ch. 3).
Henrietta Street (Study in Scarlet, ch. 4). London has one, north of the Strand, and had more, one in Deptford and some north of the Thames, but these seem not to fit the context:
I met <PERSON> -- him who has the Holland Grove beat -- and we stood together at the corner of Henrietta Street a-talkin'. Presently -- maybe about two or a little after -- I thought I would take a look round and see that all was right down the Brixton Road.
Mayfield Place, Peckham (Study in Scarlet, ch. 5)
Torquay Terrace, Camberwell (Study in Scarlet, ch. 570