Extra Little Sister Bug

In the Neptune's Bounty and Fort Frolic levels, there are supposed to be 3 Little Sisters. But, if you are lucky enough you could be presented with a 4th Little Sister and Big Daddy combo shortly after killing the 3rd. When attempting to exit these levels if the player dealt with an extra Little Sister they will be presented with a message informing them that they have missed one or more Little Sisters even though they got an extra one.

Neptune's Bounty
When you come to the first Rosie in the (dock) area, he should be walking towards the hallway you just came from. He will retrieve a Little Sister from the hallway before the dock. Feel free to kill him anyway you please, but it is best to allow the Splicers to attack the Rosie before you start - it just makes things easier.

After the first Rosie is dead and you have gathered the Adam, DO NOT walk across the muddy area to the other side of the dock. Through several tests, walking to the other side of the docks prevented the extra Little Sister from appearing; so it is best to error on the side of caution.(Note: The extra Little Sister will sometimes still spawn if you DO cross the muddy water.) Rather than crossing to the other side, go through the door that leads to the Gatherer's Garden. Do whatever you wish in that little enclave, just be sure you don't go upstairs yet. Instead of going upstairs, exit to the dock area opposite of the way you entered so that you are on the opposite side of the dock area.

From experience, it took a few times going from the Gatherer's Garden (not sure what triggers the spawn script, but opening the GG menu seems to work rather efficiently) back to the dock area before the extra Little Sister would appear. Regardless of how you do it, another Little Sister will be walking around. Get the Adam whichever way you choose and then head upstairs for the third Little Sister. Normally, the one upstairs is the second Little Sister and not the third, which leaves the fourth Little Sister for after you retrieve the camera. Just continue with the missions as normal and you will run across the remaining Little Sister. After you choose to harvest or rescue her, ignoring the fact that the pause menu has shown 3 little sisters captured, a fourth little sister symbol should appear.

Alternatively, for a simpler method, don't talk to Peach until three Little Sisters have been dealt with, which just requires waiting around for new Big Daddies to appear. After all three have appeared, talking to Peach will let you go upstairs, at which point you'll soon see the extra Little Sister. When you do - save. If the Big Daddy kills you, the extra Little Sister may have time to "go home", and she won't be coming back.

Fort Frolic
This one is rather straight-forward. After gaining access to Poseidon Plaza, skip Martin Finnegan (this is optional, though it will be difficult if he is killed before Cobb) and head to the plaza itself. When you enter the plaza, kill the Spider Splicers that attack and stick around in this area; do not go upstairs just yet. Go hack the U-Invent and other vendors if you wish (purely for convenience since Trap Bolts take down the Bouncers with ease), but after about a minute, you should hear the first Big Daddy. Immediately after he is dead, a second Big Daddy will be heard walking around. Follow him until he summons a second Little Sister. From there, head upstairs and continue with your mission objectives. After photographing Cobb in Rapture Records, you should hear another Big Daddy outside walking around with another Little Sister.

At this point, feel free to do whatever you wish in Poseidon Plaza as there are no more Little Sisters in this area. When you are ready for the extra (fourth and last) Little Sister, head back to where you find Cohen's Masterpiece and nab the last Little Sister roaming around.

The key here is to not return to Cohen's Masterpiece (the Atrium) before three Little Sisters have been found in Poseidon Plaza.

Alternative Method
Sometimes things are simple, however. Deal with all but one. Wait until there's two out at the same time. Kill the Big Daddies. Deal with the sisters. Works on any level.