What state are you in?
I am in California and one one of the many pages of disclosures that the buyer is to sign, you are advised to verify all information in regards to permits and square footage. If you signed something similar, then I believe it was your mistake.
However if the seller knew that the bedroom was not permitted and did not disclose it, then it is definately their issue.
Do you know for certain that the bedroom isn't permitted? Have you pulled the permit history from the building department?