Dorico will auto-save a file even if it hasn’t been saved yet, but if you somehow manage to close the project and choose not to save any changes, then the auto-save files are deleted at that point. If you had made any saves at all during the time you were working on the project you would also find the last handful of them in the Backup Projects folder in the Dorico Projects folder.
At the moment, when Dorico deletes auto-save files or rotates the files in the Backup Projects folder it deletes them right away, but in future versions we’ll make it such that they are instead moved to the Trash/Recycle Bin so that you can still recover them if need be.