No that's not possible. It is possible of course to forget you have one in because if you put it in right you shouldnt' feel it. But for it to get lost in there? No that wouldn't be likely to happen. The tampon would have to enter your womb for you not to feel it and I don't think you can easily get one in there. :]
But here's something you should do before using one... sorry this will be a bit graphic...Clean your finger and stick it inside your vagina as far as you can. Then push a little like you would while going to the bathroom. You should feel a soft but firm thing inside you. That's your cervix. That's the back of your vagina and pretty much as far as a tampon can get inside you. I say do this so that you are familar with what your insides feel like and therefore will know when it's... occupied or not.
Remember tampons are really very safe if you stay clean, change them regularly, and don't use them if you have an infection or are pregnant.