Customer wants to return order but Amazon say it isn't delivered yet

It’s a Royal Mail CRL48 so evidently the barcode hasn’t been scanned on delivery (…quelle surprise). However the customer has rather honestly messaged us to advise that the item DID arrive and that they want to return but because Amazon says the parcel still hasn’t arrived they can’t open a returns case.

They have contacted Amazon CS who have just forwarded them to me. I’ve told them to hang on but it’s 4 days later and still nothing. They are understandably frustrated and presumably will end up with an approved AZ claim if this carries on.

Any suggestions?