I had to delve a bit into history to find an earlier example of someone who lost his party's nomination for President, won it only to lose the general election and won both, and found Martin Van Buren, although for him it happened in reverse order. On yet another occasion he would be nominated by a third party.
Many potential presidential nominees would follow an unprecedented path to the White House. Hillary Clinton was first lady. Jeb Bush is the brother and son of Presidents.
Also-rans have often lost in their next go-arounds, although part of it is that the political environment was often against them. No one Democrats would have nominated could have beat Ike in '56.
Romney's had some relatively lucky breaks. The establishment primary is unsettled, and history seems to have vindicated some of his comments (that Russia is a geopolitical enemy, Northern Mali is vulnerable to rebels, and Detroit should go bankrupt.)
I guess the precedent he prefers is Ronald Reagan, a former Governor elected President on his third go-around in his late 60s.
He probably doesn't want to be Tom Dewey (Northeastern Governor who was the losing nominee twice) or Al Smith (Northeastern Governor with controversial religion nominated on his second go-around, who loses the primary in his third.)
