After trying some solutions, I've managed to solve the problem using the suggestion from https://www.mathworks.com/matlabcentral/answers/1590659-code-generation-information-file-does-not-exist
Basically you have to set the path from your Mathworks Workspace the same of your Simulink Model file saved.
So in my case MATLAB workspace path was 

And I've saved the Simulink .slx file on the same path C:/Teste

And then it works like charm.
Thanks,