If this document was only saved on a USB flash drive then that is a possible explanation of why Word did this to you. Although I haven't had a problem myself, there are plenty of people who say it is a bad idea to work off USB drives. The file can become corrupted if you just pull the drive out of the USB slot before Word has finished saving it.
If you can't see a file at all then there isn't much we can do from this end but we can provide some guidance to help you maybe locate something.
Firstly, where was the file when you last accessed it? Are there any files in that location that might contain content? Make sure you are showing hidden files to be sure.
Have you looked in your Autosave location? Maybe start with
this article and report back on what you have tried.