It is possible for a thrown trident with loyalty to not return after thrown if you throw it while flying too fast on elytra. I was unable to replicate this in single player, but can in multiplayer so I suspect it's got something to do with server lag and/or client/server desync. The trident cannot be found even if you return to where it was thrown and do /tp @e[type=trident] @p.
Were you flying in the End at the time?