Ebay would only close the case if the seller had tracking proving delivery to your address.
If you opened a case and the seller provided tracking, what does the tracking show?
If the courier has confirmed that they did not deliver to you, then you should appeal the case.
If the appeal to Ebay fails, you can try your payment provider.
"There are two ways to be fooled. One is to believe what isn't true; the other is to refuse to believe what is true.”
Søren Kierkegaard, Danish philosopher (1813 - 1855)