Vanishing files without your knowledge from your pen drive is common nowadays. Even if you enabled the option ‘Show Hidden Files’ in your Windows, still you can not see your file.
The main culprit behind this is malware infection to your drive. Don’t worry; you can safely recover your file very easily.
Sometimes you can solve it by connecting your pen drive into another computer that has an up-to-date good antivirus installed.
Remember; don’t forget to scan the recovered files with a good antivirus program. (via)