In OBS, if you go to File->Show Recordings it should open the configured directory. By default, recordings are named with a date and timestamp like "2020-05-06 12-30-22.mkv", though the extension may be hidden by Windows. They may not LOOK like a recording either, as Windows doesn't handle MKVs well. If you install VLC by VideoLAN, it SHOULD enable thumbnail previews as well as playback.
Sorry if I'm being over-specific, there's a lot of new users who don't realize that the files in that folder actually are recordings, even if they don't look like them by default Windows behavior. :)
If there is absolutely nothing in the folder, zero files, then yes, it was not recorded at all, and there is no way to recover it. OBS only records to the destination file directly, not to a temp-file anywhere.