You have touched upon a problem that few buyers realise exists.
Most people reasonably assume that when eBay or PayPal guarantee protection against non-delivery, they are referring to your actual address. However, few users bother to read the full terms and conditions. PayPal's full conditions define proof of delivery as including proof that an item was delivered anywhere in the buyer's postcode area, city or even county!
For this reason I doubt that you would succeed with a complaint to the financial ombudsman, who can only consider whether PP has acted within the terms of its user agreement. These are the terms you accepted in the user agreement, and the fact that they may be "unfair" is outside the ombudsman's scope.
However, I think what sets your case apart is that Fedex has apparently confirmed that this parcel was defintiely not delivered to you. If you can get this in writing, you should definitely appeal using PP's appeals or complaints procedure in the user agreement. It might do no harm to hint at an intention if necessary to take this complaint to the ombudsman. It costs PP money to defend itself against complaints, not to mention the reputational damage. Even mentioning this will give them an incentive to resolve the issue with you. Good luck!
