Since some releases (9.4 base release) the 'No disk' issue occurs really often. It occurs multiple times per day (I have between 10 and 20 HeidiSQL windows open at all times)
It seems to be related to a certain time after inactivity of HeidiSQL (like one or two hours). Switching back to the window and executing a query already in one of the query tabs often results in this error.
The net result is that HeidiSQL presents the Windows error message 'no disk in the drive', and then followed by one or more Madexcept errors. The last one usually only allows to close Heidi, so you need to reopen it and re-lookup all queries entered so far.
By searching I've found the following tickets which are most likely the same issue: