If you would have had to change the original midi file to a CWP "Normal" file extension as mid files don't save audio. It would have gone to your default save location as shown in your preferences.
I take it your not using per project folders and the copy all audio options which you'll see in the save as dialog.
Your audio might even be in the dogs breakfast of the dreaded "global audio folder"
If you where using per project folders then as I said, go to your preferences and see what pathways you have set. Everything will still be there.
Did you drag and drop a folder, a CWP icon or ?? into the new folder. Is there wave files in the audio folder?
Or did you use "save as" and browse to the new location?
If you didn't use the Copy audio with project option the audio will still be in the original audio folder. But Sonar would have returned there. You've somehow split up your projects CWP and audio.