Question: how do you know the file disappears? Is it because the blah.war app code complains about a missing file? If so, please post the code that accesses the file; it could be that the code is not actually looking in the directory you listed. (I have run into this scenario several times helping others on the forum.)
If you see the file disappear in Windows Explorer, then you might try setting the Windows security properties of the file such that no-one has write access to the file. Then start Jboss AS again and see if you get an exception thrown when the code attmepts to delete the file. That stack trace should point you to the offending code. (As far as I know, there is nothing in JBoss AS that will remove a file from a war on startup.)