Try accessing your server via SFTP, FTP, or a file manager in your hosting provider's control panel first. Go to /wp-content/uploads/ and just make absolutely sure the images weren't uploaded.
It's entirely possible that they were uploaded and just not added to the Media library. The Media library is more like a catalog stored in the database than a straight file viewer, it's possible for files to be in the proper uploads directory and *not* appear in the Media library.