I'm a Woody Allen fan and I've noticed some of his works are not available in any physical form. Lack of demand, most probably. Thanks to the boom of streaming sites, almost all can be found online.
Of course, each streaming site has its own geo-restrictions, so they may not be available in your region.
What's Up, Tiger Lily? (1966) - only on DVD.
Men of Crisis: The Harvey Wallinger Story (1971) - fortunately for Allen fans, a copy of this movie is now available online. Previously, you could only watch it at the The Paley Center for Media in New York City. This is a VHS rip, don't expect HD quality.
Play It Again, Sam (1972) - available in 1080p on Amazon Prime Video, better quality than iTunes.
King Lear (1987) - only on DVD.
Don't Drink the Water (1994) - only on DVD.
The Sunshine Boys (1995) - only on DVD.
Deconstructing Harry (1997) - was available in HD, but there's no streaming source for it at the moment.
The Impostors (1998) - available at 1080p on Amazon, iTunes, Google Play and others, but the picture looks upscaled.
Sweet and Lowdown (1999) - broadcasted in HD, but not available anywhere online at the moment.
Company Man (2000) - Woody Allen acting only. Available in HD on Amazon.
Picking Up the Pieces (2000) - on DVD or Amazon in SD quality.
"Sounds from a Town I Love" from The Concert for New York City (2001) - only on DVD. The HD broadcast version was upscaled to 1080i.
Melinda and Melinda (2004) - available in HD. Amazon Prime quality much better than iTunes'.
Crisis in Six Scenes (2016) - available in HD and 4K, but only on Amazon.
Wonder Wheel (2017) - this movie is available on Blu-ray, but you can find it in 4K on Amazon.
Rifkin's Festival (2020) - there have been some files floating on underground sites, but no official release yet.
That's about it for now. Looking forward to some good news about Allen's 2021 film that's supposed to start shooting in Paris this august!