You installed the wrong twrp. You can download the correct twrp for your device here
https://sourceforge.net/projects/recovery-for-xiaomi-devices/files/
Dude, there is no such error in twrp. Are you trying to install with flash tool? If your rom is a fastboot rom, extract the zip file to the folder and install the rom with the with update.bat option inside
Edit: your data is not deleted