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I think that many, if not all, short stories of Jorge Luis Borges qualify. Even if they're not directly about maths, they often involve some kind of strange "mathematical structure", like paradoxes, symmetries, mirrors, labyrinth, distortions of space and time. Also, the notion of infinity is a common topic of these stories: the most well known example is "The library of Babel", but there are many other examples like "The immortals" or "Aleph" (which is of course a reference to the standard notation for transfinite numbres).