I have met this situation, and because I just learn photoshop so I don't know how to solve this.
I have a psd file contains some layers. Those layers have grouped together. Then I draw a graphic (in my case is an eclipse). AFAIK, when I draw a new graphic object, photoshop will put automatically new object in new layer. I have checked but doesn't see any new layers. I also test by disable each group (click on the eye on the left of the layer) but I always see that graphic object on screen. (So it means this object doesn't contain in any layers, right ? )
The only solution currently is closing document without saving and redo work again.
My question is: where does this graphic object store. And how can I know which layer of some object when I don't know where it come from.