Lost Screen Recording on Mac OS Catalina

After recording my screen for a lecture on coding, I airdropped the screen recording to my laptop (only to have an error during transit). 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?