The error is being thrown by dh_install, as invoked by your debian/rules file. It's most likely the destination that is missing, not the source file. In this case, does debian/prg//usr/share/prg exist? I'd wager not. Conventionally, the files for a package are built up either in debian/tmp (typical for 1:1 source:binary packages) or debian/binary-package-name (better for 1:n source:binary packages), so trying to copy from one convention to another suggests an error.
Check your debian/*install file(s). see also the dh_install(1) manpage. In particular,
debian/package.install
List the files to install into each package and the directory they
should be installed to. The format is a set of lines, where each
line lists a file or files to install, and at the end of the line
tells the directory it should be installed in. The name of the
files (or directories) to install should be given relative to the
current directory, while the installation directory is given
relative to the package build directory. You may use wildcards in
the names of the files to install (in v3 mode and above).
If you really want debian/prg/usr/share/prg to exist, you must instruct dh_installdirs to create the directories. Create debian/package.dirs for your package, listing the names of directories to create, relative to the build directory, e.g.
usr/share/man/man6
usr/lib
usr/share/prg
