Mea culpa, but I agree that the documentation should be clearer. Support said the following to me re. this:
I'm sorry to say, but as far as I can tell, you deleted this blog during the name change process. Unfortunately, deleted blogs cannot be restored. There are several notices about this during the process.
But there aren't 'several notices' when changing your username - no mention is made of 'deleting' your blog when going through the steps. In the support documentation (http://en.support.wordpress.com/change-your-username/) it just says:
URLs for other services such as Gravatar and IntenseDebate may be affected.
The option I chose when changing my username gives no warning about the catastrophe that then ensues:
(◦Selecting “Change example.wordpress.com to match my new username and discard the old address” will change the address of your current blog. If your new user name is newusername, your blog’s address will be changed to newusername.wordpress.com)
I think I should have chosen the following option:
◦Selecting “No matching blog address” will just change your username and leave the address of your blog alone.
As I say, mea culpa. But non-technical people (i.e. me) would appreciate a few danger signs in flashing neon.