Here's what I think you are describing. This is JMP 17, I think 16 is similar and 15 is a bit different...
A and B are different.
When you open an existing file from disk (not talking about the B content yet), it appears in the A (workspace) panel. When you close the project, the project remembers what tabs are open in the workspace. When the project re-opens, JMP tries to re-open the tabs. In the picture I deleted test3.jmp from the desktop before re-opening and got a similar message.
If you drag/drop an opened file from A into B (contents) then JMP makes a copy of the file and keeps it in the project when the project is saved. If you then open the file from B, it looks just like the original, and you have to be careful to make sure you are working with the proper copy of the file (original from disk or copy in project contents.) If the content copy is open (appears in the workspace and has a tab) when the project is closed, it will be re-opened.
The A workspace shows open files that may or may not be kept in the project's contents. The B contents shows files that are kept with the project (which is actually a zip file with a jmpproj extension.) The B content files are extracted as needed when the project is re-opened, using a $jmpproj (approximate name) directory on your temporary folder.
I believe you are not using the project contents. I believe you are using the remembered files in the workspace to re-open files from disk. I believe you deleted/moved/renamed "Data - 25mg.jmp".
If that doesn't seem right, add some details.
@aaron_andersen
Craige