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Hi Razorthesharp,
I'm Sneha and I'd be happy to help you out with your question.
It's not any issue in word or it's not happening due to word, it's happening due to feature of auto deletion of Temporary files.
The files which are getting created possibly are stored with extension .tmp or it's name possibly starts with ~ sign if any of case is there so system will consider it as Temporary file and will delete it automatically to avoid it please use file name with any special symbol and specially with .docx extension.
For more information on it refer to following documentation :- https://support.microsoft.com/en-us/topic/description-of-how-word-creates-temporary-files-66b112fb-d2c0-8f40-a0be-70a367cc4c85
I hope this information helps. If you have any questions, please let me know and be glad to assist you further.
Best Regards,
Sneha