Update: As you have by now surmised, when that happens, it's irretrievably gone. When you start a New iMessage or New Message via
, the unsent New iMessage or New Message is not stored but should persist until you either
or Cancel as long as Messages remains loaded in memory. Although it shouldn't, it does so happen that you might experience that when the screen is locked and subsequently unlocked while Messages is open to the fore, the unsent New iMessage or New Message is effectively cancelled as if you tapped Cancel. A likely work-around is to make sure Messages is in the background while any screen locks may occur.
When, instead, you start a new message from within an existent conversation, the unsent message is stored within that conversation and will persist forever until you either
or delete it, immune from the screen lock cancellation fault.
Any questions, look at this other discussion and read all replies.