My SaveData Folder is missing

I’m not sure why this is but both Borderlands 2 and Pre-Sequel won’t save my game, and when I know it should have saved, there’s no SaveData Folder either.
I think it might be trying to save it somewhere it shouldn’t. Because when I tried saving my settings, it tried to save it in User/user/Documents/My Games/Borderlands The Pre-Sequel/WillowGame/Config. A file that doesn’t exist because my game files are on an external hard drive.

Something is preventing the game from creating save files, most likely AV or Firewall.

That’s strange, because I’ve never had that problem before…