This is a bug I've run into three separate times (with three separate companions). They always disappear after a standalone quest and are listed as "HOLDING" and always in Ain Balique.
This isn't a fix, per se, but you can dismiss and rehire them. Though 10 of my best troops also disappeared along with the character.
Summary:
How to Reproduce: Send a follower on a mission without you (this appears as though it can happen on *any* mission, randomly)
Quest/Settlement Name (if related): Ain Balique (where they always wind up)
Media (Screenshots & Video):
Version: Latest patch as of 04/03/20 (...ya'll could stand to add a "version number" on the main loading screen to make this a little easier on us?)
Computer Specs: NVIDIA's GeForce NOW service
OS: Windows
GPU: RTC T10-8
CPU: no idea
RAM: no idea
Motherboard: no idea
Storage Device (HDD/SSD): Again, probably SSD