If you sell to enough people, sooner or later you'll catch a problem buyer. It happens to us all.
As a note, one also doesn't know what is happening on their side.
One time I got an extremely nasty message from a buyer exceptionally upset about what they received, they were threatening to contact papers, associations etc about me (apparently they were a journalist for papers in my selling area). I sent one of my pre-constructed "professional" letters advising them of their options to resolve (that's why I use form letters they are much better worded than what I feel like saying in the moment). Much to my surprise I got a totally different response from them the next day, they happened to open my package the same day their spouse lost their job and that sent them over the edge which caused the extreme response. The issue was positively resolved after that.
All you can do is what you can do. Make sure to just respond politely with the situation, that the item is on its way, they have options when it gets there and that you'll be happy to work with them to resolve it. It looks like you will have to repeat that a couple times based on what I read.
I would probably block them now.
If they turn out to be a knob, yes you can lose, but no worse that if it were an actually MIA item which you can use your "cookie jar insurance" to cover (assuming you have).
It is best (but very hard) to just focus on what you can do and not let them bug you.
Keeping it professional and minimizing the time it takes you to ultimately resolve are your main goals in situations like this IMO.
