There’re rumors that Ford not only had intentions to build Ford Mustang Station wagon but actually build 2 units of them and Hemmings.com investigated this myth quite well. So, first things first.
Mustang club of Spain provided photos of Mustang prototypes that Ford had already developed before the Intermeccanica wagon showed up in 1966. According to these prototype photos Ford developed not only the idea of Mustang wagon , but sedan  and even a 2-seater . Gary Witzenburg [“Mustang: The Complete History of America’s Pioneer Ponycar”] stated that Mustang concept reached fiberglass stage only and was rejected [obviously]. Sedan version would appeal to the parents of kids who bought 2-door ‘Stangs, but Witzenburg didn’t had much to comment about this version. 2-seater is logically explained to be cancelled because of its competition with Thunderbird.
There were some photos of Shelby GT350 Station Wagon submitted too, but Jeff Pearce from Utah, the man that is involved in Mustangs for 30 years, claims Ford never built Mustang wagons, so Shelby couldn’t do that either. Jeff built that red wagon in 1978 and still owns it.
The only wagon Mustang built for sure is the one made by Intermeccanica back in 1965. They built it for advertiser Barney Clark. That wagon was exposed in some books and “Car and Driver” magazine’s 1966 cover.
It is natural that Ford may want to build a 4-door sedan in order to compete with Dodge’s Charger and Chrysler’s 300C. Some say, that 2007 Interceptor concept was a serious intention [based on rear wheel drive Mustang platform], but still there’s no serious competitor for Charger and 300C from Ford…
There are quite a few speculations of how Mustang sedan and wagon could look like, but luckily Mustang remains pure-blooded 2-door coupe: