Don't worry, this has happened to a few people and is a known bug which will be addressed in the next patch
You should be able to work around the bug in the meantime. Have you tried manually selecting "Load Game" from the main menu and choosing the latest savegame or have you just tried pressing "Continue"? Try loading the game manually and see if that works.
If that doesn't work you can double-check to make sure your save files are still present on your system by going here:
C:\Users\<username>\My Documents\Amnesia\Pig\<profile name>\
There should be numerous files in this folder each beginning with "AutoSave" and should look something like this:
If the files are there you haven't lost your progress, so that's something to be happy about at least!