Check the buyer's feedback profile along with feedback left for others. Checking both is important, as it might reveal red flags such as the buyer leaving a high amount of negatives for other sellers, or sellers leaving positive feedback with negative comments for the buyer. (Since sellers cannot leave buyers negative feedback)
If they've opened a return case, ask for proof. If what others have said is accurate, there should be some indication that the item was inspected.
I assume this was your Zelda game, which is an older game, and highly collectible if sealed. For context, unlike with a new release where it doesn't matter if the game is opened becuase the buyer will do that anyways, this is not a game someone would buy to open. It is a 20 or so year old game with collectible value. My first instinct in your shoes would be that someone might be trying to do a switcheroo by returning an opened copy of the game, and keeping the sealed copy.
What you should do is gather as much info as possible about the situation. If you're not on managed payments, check the Paypal receipt for their Paypal e-mail and name associated with the account. Include that as well. Call Canada Post and/or USPS and ask them if they have any insight about the customs process. Consider contacting USPS to see if there is any way to verify whether the package was opened by customs prior to final delivery. Also consider googling to see if there is an applicable contact for US customs. Write down all the info you get and prepare it in a word file so it is all in the same place.
I don't know how much of the above would be plausible, but it would be a good starting point.
After that, CALL EBAY. Don't use the live chat. I appreciate the live chat feature, but for situations where you are suspicious you are being targeted in a scam, calling is always better. If the buyer is refusing to provide proof that customs opened the package, or if their proof does not line up with what you've learned through contacting USPS, Customs, etc - they might be able to have their fraud team look into the activity of the buyer. Especially if this was a brand new account, or a very inactive account, there is a chance this is a buyer who created a new account, whose old account no longer qualifies for buyer protection due to previous fraud. This is why it is important to provide any info you have in terms of any extra names or e-mails that might be associated with the actual Paypal receipt.
If it turns out the buyer is being honest, at that point, I'm not sure who is liable in terms of eBay's policy. Assuming you are not liable from eBay's POV, then from an ethical POV, that would be up to you to decide if the risk of customs is your responsibility or the buyer's responsibility. In their shoes, if you purchased a collector's item from the US that was devalued because it was open at the border, would you expect a return, or would you expect to eat the cost?
