[DjNDB]

Just to be sure, you can check if they are still in
%PUBLIC%\Documents\Telltale Games\The Walking Dead

That's where they save in that compatibility mode.
If availale, you can also try the "restore previous version" feature (right click, "properties", "restore previous version") on each of these folders depending on which exist.
%PUBLIC%\Documents\Telltale Games\The Walking Dead
%PUBLIC%\Documents\Telltale Games\
%PUBLIC%\Documents\

If you haven't disabled steam cloud, it should download your savegames the next time you install TWD, unless you synced the empty state too.

Another option is reverting to a system restore point before the deletion. I haven't tried that, but i think it could include that folder too.