This is a really interesting problem. To expand on what @alephzero said, before the disk temperature even changes, there will already be a radial displacement distribution u(r), and accompanying strains and stresses in the radial and hoop directions. So the disk will already be deformed to begin with, and this will play a role in determining both the initial radial mass distribution and the stored elastic energy.
When the temperature changes, the radial displacement distribution will change again, and the stresses will change as a result of both the temperature change and the radial and hoop strains, over and above those that would exist from unconstrained thermal expansion. This will result in a change in the stored elastic energy of the disk. So, while the angular momentum of the disk will remain constant, its kinetic energy will change such that the sum of the kinetic energy plus stored elastic energy before the temperature rise is the same as after the temperature rise.
This can all be modeled precisely. The basis for such a model would be primarily the determination of the radial displacement distribution u(r) before and after. The displacements in the tangential direction would be zero, and, in the thickness direction, one could assume plane stress.
EDIT
Below is a simplified problem that captures the essence of what you are asking. The reason I have introduced this simplified problem is that, if we can't solve this problem, we certainly won't be able to solve the much more complicated disk problem. Plus, the fundamental physical mechanisms present in the simplified problem are precisely those that characterize the disk problem.
Consider a mass M at the end of a massless elastic wire that is traveling in a horizontal circle at an angular velocity $\omega_i$. The cross sectional area of the wire is A, its elastic modulus is E, its coefficient of linear expansion is $\alpha$, and its unextended length is $R_0$. Initially, the length of the wire attached to the rotating mass is $R_i$. After this initial rotation state is established, the temperature of the wire is increased by $\Delta T$ and, as a result, its length increases to $R_f$ and its angular velocity decreases to $\omega_f$. Using linear stress-strain analysis (i.e., for small strains), find (in terms of $R_0$, M, E, A, $\alpha$, and $\omega_i$) the initial extended length $R_i$, the final extended length $R_f$, and the final angular velocity $\omega_f$. Also show that the decrease in kinetic energy of the mass as a result of heating is equal to the increase in stored elastic energy of the wire.
The force balance on the mass in the initially-rotating and in the heated states is given by:
$$k(R_i-R_0)=M\omega_i^2R_i\tag{1}$$
$$k(R_f-R_0-\alpha \Delta T R_0)=M\omega_f^2R_f\tag{2}$$where $k=EA/R_0$. In addition, conservation of angular momentum requires that:$$\omega_fR_f^2=\omega_iR_i^2\tag{3}$$
The linearized (small strain) solution to these equations for $R_i$, $R_f$, and $\omega_f$ is given by:$$R_i=R_0\left(1+\frac{m\omega_i^2}{k}\right)\tag{4}$$
$$R_f=R_0\left(1+\frac{m\omega_i^2}{k}+\alpha \Delta T\right)\tag{5}$$
$$\omega_f=\omega_i(1-2\alpha \Delta T)\tag{6}$$
The change in kinetic energy of the mass $\Delta (KE)$ is given by:
$$\Delta (KE)=\frac{M}{2}(\omega_f R_f)^2-\frac{M}{2}(\omega_i R_i)^2\tag{7}$$
The change in stored elastic energy of the wire $\Delta (SE)$ is given by
$$\Delta (SE)=k\left[\frac{(R_f-R_0)^2}{2}-\frac{(R_i-R_0)^2}{2}-\frac{\alpha \Delta TR_0}{2}(R_f-R_i)\right]\tag{8}$$
If we substitute Eqns. 4-6 into Eqns. 7 and 8, and disregard higher order non-linear terms, we obtain
$$\Delta (KE) = M(\omega_iR_0)^2(\alpha \Delta T)\tag{9}$$
$$\Delta (SE) = -M(\omega_iR_0)^2(\alpha \Delta T)\tag{10}$$
This verifies that the decrease in kinetic energy of the system is precisely compensated for by the increase in stored elastic energy of the system. This is the way that energy is conserved in the system.
These same qualitative results will apply to the disk problem.