GetTempFileName unexpected behavior

I have two tabs in the same IE process accessing a global file cache that uses the temp directory to store files. The file names are generated using GetTempFileName.

Below is the code simplified:

GetTempFileName(strTmpDir.c_str(), "as", 0, szFileName);
 //strTmpDir is a folder inside %TEMP%
FILE* fp = NULL;
errno_t err;
err = fopen_s(&fp, szFileName, "wb");
if (( !fp ) || (0 != err))
{ 
	iErrLocation = 1;
	hr = E_FAIL; 
	throw "Failed to open file";
}	

// Write bytes to the cache file
if ( !fwrite(pBuf, nBytes, 1, fp) ) 
{ 
	iErrLocation = 2;
	hr = E_FAIL; 
	throw "Failed to write to file";
}
//at this point when the error occurs the file 
//could not be found 
int result = _stat(szFileName,&statBuf);
if ( result != 0 ) {
		//
switch (errno)
{
case ENOENT:
	strErrlocal = " File " + string(szFileName) + " not found.\n";
	break;
case EINVAL:
	strErrlocal = " Invalid parameter to _stat.\n";
	break;
default:
/* Should never be reached. */
	strErrlocal = " Unexpected error in _stat.\n";
        break;
}
fclose(fp);

What could cause the file to be deleted in a multithreading scenario?

Thank you in advance.