Klarna is a payment provider. If you bought something on eBay, and paid by Klarna at checkout, Klarna will claim whatever you owe them from your bank account.
So you must have bought something here, but could you explain what you mean by "The sale never happened"?
Did you or the seller try to cancel the sale? Or didn't you receive the item you have bought? In most cases there are procedures to get your money back if the seller has let you down, but to help you further we need to know what happened.