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Are you maybe putting your copies in the cloud save folder (something like "C:\Program Files (x86)\Steam\userdata\<YOUR STEAM ID>\236850\remote\save games")? That folder is managed by steam and kept in sync with the cloud, so you can't add new files there unless you do something to tell steam that it should upload the file to the cloud.
Restart game, resume.
I don't think resume will load an ironman save...
Can you please try this again and describe in a step by step way what you did in as many details as possible and check after each step if a file disappeared.
1. you use alt+f4 or the taskmanager to exit eu4 without saving and then you just continue your game from the main menu. This undoes everything which happened since the last time that the game saved
2. you use alt+f4 or the taskmanager to exit eu4 without saving and then you go to the single player menu, open the save games list and continue from the _backup save. This undoes everything which happened since the penultimate time that the game saved. The game will then create a _backup_backup save as a backup from your current save and you can use this if you have to go back again. But if you do it too often, you will reach the filename length limit of your OS and then you have to rename your save to continue
3. you alt-tab out of the game and make a copy of your save. You can either store that copy in a different folder or you can give it a different name. If that name still has the file extension .eu4, you can go back to that save by loading it from the save games list in the single player menu. But I would recommend to use a different folder and give the save a meaningful name there (e.g. if your main save was "France.eu4" and you are about to declare war on England in 1445, I would call it something like "France_1445_before_first_england_war.eu4"). When you want to return to that save, copy it back to your normal save games folder and either overwrite the original save or give it a new name. By keeping the saves in a different folder and never loading them directly, you make sure that you can continue to go back to them. This can be important if there are problems which happen when loading. eu4 saves immediately after loading and would for example save the information that achievement got disabled(e.g. because it thinks you are a different user or because a DLC got disabled because its files got corrupted).
That is one of the options, yes.
I never had any problems with the ironman saves and havent seen anyone having problems with it. The only "problem" occurs when a new version comes out, but even then you can easily go back to the previous version to finish your ironman.