It is probably a permissions problem. The way editing styles works is that when you click to edit a style, it creates a copy of the style in a temp folder. Then as you edit, updates are made to that temporary location. Then, when you save your theme, the temp folder is copied to your new theme name and the temp folder is removed.
If it disappeared, that means that it was unable to copy, which is most likely a permissions problem of some sort preventing the creation of the new theme folder... however it is odd that it would happen if you had been able to edit a theme successfully in the past.