Officially, Herzl was buried in Europe, then re-interred on Mount Herzl in Israel.
Unofficially, the tale is told his body could not be found, and the delegation sent to retrieve his remains buried a cat or something. Do I believe it? Of course not! But a wild conspiracy theory debasing that old Rasha deserves at least an honorable mention here.
Anyway, I found the claim in the idiosyncratic and strange “תיק גרמניא – ההוכחה” by דויד שלם on page 224 who says he heard from reliable people who had heard from delegation members that a sack of earth was brought to Israel, instead, when they couldn’t find a body.
The author adds sarcastically (p. 227) that Herzl was compared to Moses in assisting to bring the Jews to Israel, whose gravesite couldn’t be found either…