Tokyo had been awarded the Games in 1932, but forfeited the right to hold them in July 1938, following international condemnation of the Sino-Japanese War and fears of boycotting. The IOC then awarded the Games to the runner-up of the original vote, Helsinki. It was Finland that were preparing to receive the Games when World War 2 broke out.
Nevertheless, that neither Games took place does not mean that there is nothing for an Olympic ticket collector to find...
Tokyo train ticket
Preparations for the Tokyo Games progressed sufficiently far that a large number of souvenir items can be found, even with the Games being forfeited with 2 years to spare. This was far too early for tickets to the actual events to have been printed. However, there exists this curious ticket depicting the Tokyo train station from where, I believe, spectators would have been able to travel by train directly to the a station close to the Olympic stadium.
Helsinki ticket booking confirmation invoice
This is an invoice confirming the recipient's success in applying for Olympic tickets and detailing the fees to be paid. I was fortunate to find a copy that included reference to athletics tickets, this being the translation of 'kenttaurheilu'.
Note the date of the invoice, 25.09.39. This is 3 weeks after Germany's invasion of Poland on 01.09.39 which is recognised to represent the 'start' of World War 2. Preparations for the Games still continued at this time, with the president of the Olympic organising committee declaring on 03.09.39:
"The Organizing Committee will naturally follow the situation, but at the same time we continue with the preparations as before. For the moment, no reasons of such a gravity have been presented which automatically would interrupt the present, well progressing preparations. There still is a possibility that the international situation could ease up. The state authorities and the city board of directors will give orders to stop the preparations if needed."
Little did the Finns know that Hitler had already promised their country to Stalin during secret talks a month earlier (The Molotov–Ribbentrop Pact). Rejecting Russia's request to station Soviet troops on Finnish territory, Russia fabricated a border skirmish, shelling one of their own villages, and blaming it on the Finns. A Soviet invasion followed and 'The Winter War' resulted. The Olympic Games then became far from peoples' minds.