Fallout – Where is the Fallout: New Vegas save game location

I have a theory rather than an answer: it is plausible the graphic asset(s) or user interface configuration file(s) used for rendering the radial menu that appears when you press and hold a number key were corrupted during install.

Have steam verify the game files by right-clicking the game in the library and choosing "properties".

Also, disable any mods you may have installed.

I played on PC but i got my items automaticaly when i exited that small cave where you "lost" your items.

How far did you get?Try fast travel somewhere far.

Other than that it can be a bug,or in case if you dropped items on floor instead getting them confiscated there is big chance of them just disapearing.