have you searched for the file?
reading over the code I would expect it to land somewhere else since you are not using dir to save it
const FString OutputDirectory = FPaths::Combine(*FPaths::ProjectDir(), TEXT("Saved"), TEXT("TimedDataMonitor"));
const FString Filename = TEXT("SomeName")
const FString FullyQualifiedFileNameFilename = FPaths::Combine(OutputDirectory, Filename);
FFileHelper::SaveStringArrayToFile(Item.Value.Entries, *FullyQualifiedFileNameFilename);
example modivied from unreal code in
void UTimedDataMonitorSubsystem::UpdateStatFileLoggingState()