Exception for missing data

There is also System.Data.ObjectNotFoundException class which you may consider.

Update: As of Entity Framework 6, this exception class' fully qualified name is System.Data.Entity.Core.ObjectNotFoundException.

See this question for further details on EF5->EF6 namespace changes.

As a rule of thumb, check the existing .NET framework exceptions for a suitable exception to throw before deriving your own. To answer your question directly, there is no "missing data" exception currently available to throw, but that doesn't mean there aren't suitable exceptions to cover your situation.

In your case, the humble InvalidOperationException may be suitable; this exception is thrown when you call a method on an object, but the object's state is not appropriate for the operation. Examples of this include calling methods on a closed stream and an enumerator that has passed the end of the collection. If the XML data is the internal state of an object, and a method call has discovered the bad data, InvalidOperationException is a good candidate.

If you are passing your XML data to a method, an ArgumentException, or one of its derivatives may be an appropriate choice. There is a small family of these exceptions, all indicating that an argument passed to a method is not as the method expected.

You will only want to create a custom exception when you want the exceptional circumstance to be handled differently from other exceptions. If you do choose to create your own exception, be sure to derive it from a higher exception than Exception, so that the nature of the exception is implied by the base class.