When you press the Delete key to delete a file, the file is permanently deleted immediately.

First determine where the file is stored. Windows does not send deletions from network shares or many removable devices to the local Recycle Bin. Create a disposable text file on Desktop and press Delete once. If it reaches the Recycle Bin, the original storage location is the boundary; use that service’s recovery or backup instead. If the desktop test is also permanently deleted, open Recycle Bin Properties and verify the option for the C: drive, because Recycle Bin configuration is per volume. Check that the Shift key is not stuck, because Shift+Delete requests permanent deletion. Then run Microsoft’s File and Folder troubleshooter and retest. Avoid deleting important data meanwhile. For anything already lost from a local drive, minimize writes and use Windows File Recovery, saving recovered files to a different drive. Recovery from a network share or cloud location must use that service’s backup or recycle system.