Macys Did not by refund Mason Oh

I purchased 2 diamond Jewelery online from macys.com in the amount of $3899.70 (ear drop)and $2835.00 ( bracelet)total with tax $7206.13. I didn’t like one of them and I returned $3899.70 ( ear drop ) by the ups label provided by macys with return label on time . After 2 weeks when I called, they said they got the item and wait for 15-20 business days for refund as it’s through PayPal . I did wait for 18 days and called back and now they say it has gone to their warehouse somewhere in Sycacys, ny  and gas to wait as they need to refund the process. I called back on Jan 7 th and they told customer representative forgot to file for refund form and that’s why it’s getting delayed . Again I called back after 5 days and now they say they got the packet but it was empty . Now I felt like I lot my $ 4000.00( including tax) and no Jewelery . Either it was misplaced by warehouse or it was lost within ups . Not sure . They told they cannot process my claim and no one update me from macys or from customer service so far . Each time I keep calling and they mislead me after taking my money and Jewelery . I feel like macys robbed me. Feeling devastated and not sure where to file complaints so as to get my money back and amount I pay to my credit card debt for purchasing the item with interest .