It may seem like a tampon could get lost inside of your body but it's not possible for a tampon to get lost inside of you because of the way your Vagina is made.
There's no way for the tampon to go any further than where you inserted it and you'll always be able to remove the tampon without fear of it getting lost inside of your body.
The Tampon will always stay inside your Vagina once it's been inserted into the Vagina and the only other opening is the Cervix at the top of your Vagina but it's not gonna go through there.
Sometimes a Tampon may get stuck inside your Vagina but you'll usually eventually be able to remove it and if not a doctor can easily remove it so there's no worry about that.