Have you tried searching your entire Mac for the file?
Try opening the file by choosing File -> Open Recent...
If it is in the menu under Open Recent and opens, then it's definitely on your Mac.
Then, as long as it opens in a floating window and not as a Tab, Cmd-Click the name of the window. That will show you the folder hierarchy where Photoshop has saved the file on your Mac. You can choose the enclosed folder to open it in the finder as well at that point, and move the file where you would like to have it saved in the future.