Since the first derivation of non-Markovian stochastic Schrödinger equations, their interpretation has been contentious. In a recent Letter [Phys. Rev. Lett. 100, 080401 (2008)10.1103/Phys. Rev. Lett.100.080401], Diósi claimed to prove that they generate "true single system trajectories [conditioned on] continuous measurement." In this Letter, we show that his proof is fundamentally flawed: the solution to his non-Markovian stochastic Schrödinger equation at any particular time can be interpreted as a conditioned state, but joining up these solutions as a trajectory creates a fiction.