The normal behavior of atuin is to put either the command you matched onto your commandline, or nothing. So if you Ctrl-r and type something with no good match and exit, you “lose” what you have typed. You can Ctrl-g to get back what you had when you pressed Ctrl-r but anything you typed after that is lost.
To get what I think is superior behavior set exit_mode = "return_query" in ~/.config/atuin/config.toml. Now whatever is in the atuin buffer is now on your commandline if you hit Esc. You can still Ctrl-g to get what you had before Ctrl-r or Ctrl-c to exit to an empty commandline.