If you don't have a creature card in your graveyard with one mana value, you just continue on to the next.

Gruesome Menagerie doesn't target the cards to return. You choose them while it's resolving. No players may take actions between the time you make each choice and the time you return them to the battlefield.

All of the returned cards enter the battlefield at the same time.

If a card in your graveyard has {X} in its mana cost, X is considered to be 0.