[zorrophreak]

Well, since you say it never showed up, you could go the route of claiming it still never showed up. You could continue this and eventually just become disappointed and say to not bother with it. Otherwise, I would claim slowly over time that you finally found it, but not immediately (suspicious.)

Hopefully someone with more experience (and possibly gone through some investigations) can weigh in.

However as @RuneFish said, there is a good chance they will begin to press charges, if it gets classified as mail fraud. Hopefully that doesn't happen.

I would go forth with my excuse and hold out, to try to make it more believable.

Good luck to you, and if it gets waived and you get your product or it just ends, let us know how it goes.