Also having the same problem. I have checked my .htaccess and WP is generating it when I change my permalink setting to default then back to ‘pretty’ but I’m still getting WP’s 404 page (not my theme’s)
I had WP running locally via WAMP and this problem was solved when I modified my httpd.config file.
I installed WP on my hosting account via godaddy. I have come across several people with this problem but with no clear answer. Can anyone help?