Is there any case in which an abortion did not work?

Yes: Usually the pregnancy termination doesn't work when the entire pregnancy isn't removed at the time of the D&C or if the uterus is abnormally shaped in which the pregnancy tissue could not be reached with the instruments.

Yes: It's possible to have retained products of conception after an abortion. If the pregnancy was an ectopic, an abortion will not have removed the pregnancy. If you had an abortion and still feel pregnant, go see you gyn.