Lost Screen Recording on macOS Catalina

After recording my screen, I AirDropped the screen recording to my laptop, only to have an error during transmission. I pressed Done on the screen recording, and it looks like that wasn't saved.

I checked my Desktop, and it isn't there next to my other recordings.

It's not in the trash. As far as my Mac is concerned, it never happened.

Am I just missing something, or did my Mac just obliterate the file when I pressed Done?

I had a similar problem in Big Sur, I was doing a screen recording (video) using Cmd-Shift-5, and had the "Show Floating Thumbnail" option set. This gave a thumbnail of the capture on the bottom right when it ended. I accidentally swiped right on the icon and the recording disappeared and wasn't saved to the location I set it to.

I eventually found it in ~/Library/ScreenRecordings. I'm not sure if it gets cleaned up after awhile but luckily I found it soon after the capture.

To prevent this problem in the future, I turned off the "Show Floating Thumbnail" option, so the recording should automatically save in the location that is set under settings.