Press Command-Shift-5 then click the Options button. What is the selected Save To location? Try setting it to Desktop. Some users on Tahoe have reported screenshots not being saved where the issue was corrected by unchecking the option to Show Floating Thumbnail.
Take a screenshot on Mac - Apple Support
Also note that if Show Floating Thumbnail is selected and you interact with that thumbnail but don't complete the action, the screenshot is lost (for example, if you click the Share button then select AirDrop but then cancel it, the screenshot is gone for good).