Check the filenames. I've encountered something like this before and found out that the filenames were broken.
For example, I found some files with names that look like this: か ゙ instead of like this が.
It appears correct in UTAU, but the file technically doesn't exist because it's named differently.
I hope this makes sense!
Edit: I think I found a better way to explain; the broken filenames had a strange mix of fullwidth and halfwidth characters that look "correct", but it confuses UTAU because those files technically don't exist. You can fix the files by renaming them using the correct characters.