For $\sigma \in \mathbb{R}$, let each $\mathbb{C}_\sigma = \{s \in \mathbb{C} : \Re(s) > \sigma\}$. For a sequence $a_n \in \mathbb{C}$, consider the Dirichlet series $D(s) = \sum_{n\ge 0} a_n n^{-s}$. There exists some $\sigma_c(D), \sigma_a(D) \in \mathbb{R}\cup \{\pm \infty\}$ such that $D$ converges conditionally in $\mathbb{C}_{\sigma_c(D)}$ and absolutely in $\mathbb{C}_{\sigma_a(D)}$.
For a particular sequence $a_n$, we can ask whether the Dirichlet series $D$ has properties of an L-function: can it be written as an Euler product, then analytically continued to a meromorphic function on $\mathbb{C}$, and then shown to satisfy a functional equation.
I am interested when this can fail at the second step. Is there a sequence $a_n$ so that $D$ defines an analytic function on some half plane $\mathbb{C}_{\sigma}$ with the line $\Re(s) = \sigma$ as its natural boundary? Is there a sequence so that $D$ can be analytically continued to a meromorphic function on a non-trivial Riemann surface?