[mothered]

my house is the only one on the street that has a specific color of doors and window shutters  that can be seen in the photos

Thanks for providing the above details- this helps me assess your circumstances, thereby provide Informed advice.

Here's what's most likely to take place. In their defense, they'll try and verify the delivery based on your home being conclusively Identified In the photos, however It's not the case at all. The vulnerability Is that the packages were left at your doorstep, hence you did not personally receive/accept them. As such, a passerby stole the one you're planning to SE.

So should I just say I did not receive the package and not even mention the other two? 

Correct.

You're not supposed to know If and when they arrived (on the same consignment or otherwise), so just mention the one package.