Thunderbird does not create or use a Spam folder. Your email provider might. Thunderbird used the term Junk for this type of mail to keep things separate from what the providers do.

Is this an IMAP email account or POP account.

With IMAP the folders are created and reside on the email server and you subscribe to the folders to view them. You subscribe to folders under the File menu on the Menu Bar.

Deleted items usually end up in the Trash folder. Have you looked there.

Log into your account at your email providers web mail page and see if the Spam folder is still there.

Thanks