I have had that, too. Totally inexplicable.
I see you have all your audio files inside the audio subfolder of your project. That's good. (and normal).
You can do this more efficiently by creating a new folder, then going to "File > Save As" to save your project into that folder.
Before you hit OK, make sure "Copy all audio with project" is selected. This will copy all USED audio files and leave the abandoned ones behind.
The Clean Audio File tool is ancient.
It made sense in days when hard drives were small and we all tried saving space by putting all audio files in global Audio folders in the hope of re-using clips over many projects.
Before it cleans, it tries to find out if any existing Cakewalk project files also use any of your audio files. To do this, it looks absolutely everywhere, on every drive, in every folder (even the Recycling bin!!! It's still Win32 days!!!) just in case there is a .CWP file lying around that might, just might be using any audio files in your project.
That made sense when hard drives were 10-20MB, but intolerable where the average drive is 500GB-1TB in size.