Did you use the USB ejection tool before unplugging the stick? If not, then the system may not have written everything to the drive, including details of the folder. The files could appear to be on the drive according to File Explorer, but you may only be seeing a cached copy that is still waiting to be written to the stick.
If you are using Windows 8/8.1 or Windows 10, did you shut down the computer then unplug the stick? These versions of Windows have a default feature called "Fast Start-up". I have experience file loss on dual boot systems when I shut down Windows one day but boot into Linux the next time I use it. Files I create in the Windows file system get lost when I reboot into Windows
The problem is that Fast Start-up caches information in a hibernation file, which can include updates to the file system. Any changes that are made such as using a different OS or removing a drive can mean that the cached data overwrites any intermediate writes by the other OS, or the cached data is simply lost.
If you have important files that did no have any backups, you might be able to recover the lost file using programs such as Recuva, although the file names may be corrupt.
I hope this helps.