Hi, and welcome!
This isn't the expected behavior. Here's what happened when I created a new directory, populated it and then created a project using RStudio and the same files survived.
$ 494: mkdir lamb
$ 495: cd lamb
$ 496: touch mary had a little lamb whose fleece was white as snow
$ 497: l
total 0
-rw-r--r-- 1 rc staff 0B Mar 2 19:30 a
-rw-r--r-- 1 rc staff 0B Mar 2 19:30 as
-rw-r--r-- 1 rc staff 0B Mar 2 19:30 fleece
-rw-r--r-- 1 rc staff 0B Mar 2 19:30 had
-rw-r--r-- 1 rc staff 0B Mar 2 19:30 lamb
-rw-r--r-- 1 rc staff 0B Mar 2 19:30 little
-rw-r--r-- 1 rc staff 0B Mar 2 19:30 mary
-rw-r--r-- 1 rc staff 0B Mar 2 19:30 snow
-rw-r--r-- 1 rc staff 0B Mar 2 19:30 was
-rw-r--r-- 1 rc staff 0B Mar 2 19:30 white
-rw-r--r-- 1 rc staff 0B Mar 2 19:30 whose
$ 498: l
total 8
-rw-r--r-- 1 rc staff 0B Mar 2 19:30 a
-rw-r--r-- 1 rc staff 0B Mar 2 19:30 as
-rw-r--r-- 1 rc staff 0B Mar 2 19:30 fleece
-rw-r--r-- 1 rc staff 0B Mar 2 19:30 had
-rw-r--r-- 1 rc staff 0B Mar 2 19:30 lamb
-rw-r--r-- 1 rc staff 258B Mar 2 19:32 lamb.Rproj
-rw-r--r-- 1 rc staff 0B Mar 2 19:30 little
-rw-r--r-- 1 rc staff 0B Mar 2 19:30 mary
-rw-r--r-- 1 rc staff 0B Mar 2 19:30 snow
-rw-r--r-- 1 rc staff 0B Mar 2 19:30 was
-rw-r--r-- 1 rc staff 0B Mar 2 19:30 white
-rw-r--r-- 1 rc staff 0B Mar 2 19:30 whose
If I lost a directory, I'd check to make sure it was where I thought it was. I'd check my shell history and the gui trash can.
If that didn't work, I'd immediately github all my other important work.
I wish you good luck.