This looks like a corrupted filesystem to me. Try chkdsk
on Windows or fsck
on Linux to check your file system and fix any possible corruption.
I don't think trash is the issue here. Both Ubuntu and Windows have this mechanism, with a similar concept – when “deleting” a file from the file manager, it is simply moved to a special folder instead of being deleted, and some metadata (original location and deletion date) is stored in a database. However, the implementations differ, so files moved to Trash under Ubuntu would not appear in the Windows Recycle Bin and vice versa. However, since files are moved, either way of deleting them will cause them to disappear from its original location.
Note that if you delete a file in another way than through the file manager, the trash folder may not be used and the file actually gets deleted.