I just recently got Pythonista and am still trying it out. I created a folder and created a small script inside that folder. Over the next few days I ran the script several times, revised it, ran it some more, etc.
Today when I went to work on the script, it was gone, along with the folder it was in. They were not in the trash folder, they were completely gone. It was just a small script, easily recreatd, so not a big deal, but it has made me wary of trying anything more major. However, I don't see the same bug reported by anyone else on this forum, so maybe it's a rare occurrence.
Some info that may or may not be relevant: After the last time I used my script, I was going through the library documentation and trying some of the examples. One of those examples crashed Pythonista. After some experimenting I figured out that Pythonista would crash if you called draw_string without the rectangle argument (I think I saw that bug reported in another thread on this forum). Possibly that has something to do with it. I wasn't able to reproduce the disappearing folder problem by deliberately crashing the app, though.