Live coding is often quite problematic- anything hot or live is meant for speed in the moment, not as a replacement for compiling with the engine closed. If you still have the project in your trash, you should probably try to restore it and compile with the editor closed.
But for your file problem, you should make sure everything unreal is closed, then delete any remaining files. Also double check which directory you’re trying to create in. I wouldn’t know why they would be, but also check you don’t have any hidden folders or files there.