I have the same problem/need. I want to create a P&L that includes transactions tagged with specific Classes and also include transactions for which no Class is specified. It's annoying, because there's a "Not Specified" class filter option, but when you select it, you can no longer add specific classes to "Not Specified". 

The only workaround I've found is to run a P&L by Class report for a specific date range and NOT specify any Class filtering. When you do so, it produces a report for all classes that have transactions in the date range, including a column (on the far right) of transactions for which Class is Not Specified. I export this report to Excel and delete all the Classes I didn't want to appear on the report (and fix the formulas that break when you do so). This results in a P&L by Class with a Not Specified Class.