Never seen that happen.
Might be that you accidently written something in the dialog so it ended up in some sub/parent folder..
Depends on how you started the copy operation. there are multiple way to do that in mc.
All file operation are logged in fileoperation log (unless you turned that off)
type ":golog" in command line field. and look in the *-FileOperations.log that handled the copy and you see where the files was written to