The answer to the riddle is "the letter 'M'."
Explanation:
- "Comes once in a minute": The letter 'M' appears once in the word "minute."
- "Twice in a moment": The letter 'M' appears twice in the word "moment."
- "Never in a thousand years": Despite the numerous occurrences of the letter 'M' in various words, it doesn't appear in the phrase "a thousand years."