Item shows as delivered but wasn't, with odd circumstances. Did I mess up here?

Long story short: I sent the item and the item showed (still does) on ebay as delivered but wasn't and was send back to me with a strange "Does not exist" label.

Here's where I think I messed up. Customer verified the address was correct and I HAVE had someone randomly not get something before where I knew the address was correct (family member, not business). I figured this happens so I informed the customer I would resend it (with the same label, for some reason people are assuming I printed another, which I don't believe enay even allows you to do) and see if it arrived. Now the customer says they never got it and I didn't get it back either. I probably just should have refunded them when I first got the item back and been done with it, as I now realize the customer could have just gotten it and said they didn't since it showed as delivered.

Am I screwed here? First off, how do I handle refunding the customer since the item shows as delivered? Second, I DID just file a missing item claim but once again, since it shows as delivered I'm not sure how that plays out.

What is the appropriate course of action for the customer, and what action can I take to get my own money back if I have to refund him since the item is missing? Thanks.