I'm finnaly get to the 15th level and find a Lord Dredmor in a small room... I'm try to kill him but he kills me... So I load the game, open the door to the "Small Room" where's the Lord Dredmor awaits for me last time and I try to kill him again. I took him something about 200hp and runaway; after I'm heal up I'm back to the room but he dissapeared! I'm try to find him again on the whole floor... but with no luck.. he's just gone...
I'm not sure that this is what happened, but Dredmor can blink/teleport, so it's possible he wound up behind a wall. If you have any AE attacks, you may want to give them a try to see if you can find him that way.
I still don't really understand why Lord Dredmor is able to blink. Where it doesn't break the game, it makes him easier, because people generally don't want to be in melee range of him.
Considering that Blink is semi-random, there is always the possibility that he'll reappear closer to you instead of further. But I'm not 100% sure that Blink is the OP's issue, since he said that Dredmor wasn't in the room when he entered. And according to Dredmorpedia, he can blink when he's 'aware'. In other words, I would have guessed that you'd see him blink. It's not something that I recall seeing him do much, if at all, but it is listed as an ability of his.