I saved an envoy to use later, but I feel like it disappeared. Maybe I accidentally used it, but I don't think I did. Is there any penalty to saving envoys for later, like eventually disappearing?
I (and my wife) have saved envoys and not had them disappear.
I did this a lot on accident before I realized later governments tend to give you multiple.
She likes to save envoys until she can advance a full tier (1 -> 3).
My guess is that you accidentally used it. Hopefully it was on a city-state you liked at least!