I believe the last show to close in preview was Bobbi Boland (7 previews) in 2003.
Other shows of note to close in previews:
Senator Joe (3) 1989
Truckload (6) 1975
Face Value (8) 1993
And probably my favorite, Me Jack, You Jill (16) 1976
I have a glorious audio of Me Jack, You Jill and some of it takes place in a theater. At one point all the lights in the onstage theater go out and one of the characters says, if you don’t turn on these lights, I’m going to close the show, to which the audience starts clapping and jeering the proceedings! It’s the closest I’ve ever heard to an audience mutiny. At one point, the windowcard was hanging in Joe Allen.
Marie: Don't be in such a hurry about that pretty little chippy in Frisco.
Tony: Eh, she's a no chip!