Return sent to wrong address?

[thejewelryhoarder]

I recently had a buyer open a return. I provided my return address through the Ebay return process following the steps.

Today I recieve an email from Ebay stating the item has been returned/delivered and I should go ahead and issue the refund.

However I didn't recieve the package and the tracking shows it was delivered in another city/state. 

What should I do now? Should I ask Ebay to step in and help?