ok.. it does sound a bit off but its possible that she is telling the truth
Ask her to go to the PO or local Depot (or tell her to give them a phone call instead - she'll need the tracking number either way ) and arrange for the parcel to be delivered again at a time when she is home, or she can arrange to collect it herself from the PO/depot .
It *is* possible that they didnt leave a slip - I had it happen with a couple of HTF ponies i bought from someone in another country. I never got any slips and they were supposed to have tried to deliver the ponies 3 times (there was someone home on the supposed delivery days too!) . In the end they got send back to the seller, who then contacted me and I had them redelivered.
If Your buyer doesnt collect the parcel from a PO/Depot or it still doesnt get a delivered (there's no-one about to sign for it again etc) it will be held for a certain amount of days(sorry I'm not sure of the exact amount of days for a US parcel) and then it will be sent back to you.