Try this troubleshooting technique:
1. select file|save as
2. in the File Name box, type an outrageous name (try 'outrageous' -- adding the period and the tif makes no diff)
3. in the Format dropdown, make sure you select tif.
4. click the Save button
5. use Windows Search function to search for "outrageous"
Note the location. I have experienced the same thing, where I *thought* I knew where my file was being saved, but PS knew better. I noticed that if I saved the tif in a location other than where the original was, that PS kept its "focus" on that location.
Is Save grayed out for the jpeg open on your PS work area, as if it's been saved??
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I don't see anythkng like htat. When I do file save as, there is a check for "juse lower case extension" and it is checked.