I'm Lucy, and I'd be happy to answer your questions today. I'm sorry to hear that this happened.
The company is responsible for making sure that you receive the item you ordered or refunding your money. If they are not able to do either of those things, then you can sue for the money you paid, plus your filing fees, in Small Claims Court. Small Claims have to be filed where the business is located. That means, if they only operate in Arizona, you unfortunately have to sue in Arizona, and you're not allowed to seek the time and expense of traveling to court.
Another option that could work is to send them a demand letter, via certified mail, giving them a set amount of time to return your money (or produce the item, delivered at their expense), or you will sue. You can also let them know that if you have to sue to get them to fix something that is obviously their mistake, you will also file a Complaint asking the Arizona Attorney General's Office to look into their business practices. They won't want that.
If you paid for the item by credit card or Paypal, the third option is to let the service know that your item was shipped to the wrong address and never received, and ask them to refund your money. They should do it.
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