A customer ordered a Samsung Flip 6 from us wich was Fulfilled by Merchant. They had messaged us after the return window closed indicating that they had sent the phone to Amazon by accident (they used a return label for one of thier FBA orders).
Amazon customer service also reached out and stated the same, that the customer accidentally returned the phone to Amazon.

The customer had opened an A to Z claim indicating that the order was not received / package did no arrive.

We had responded to this with the tracking number and proof of delivery with signature.
The customer then provided the return tracking number and Amazon sent us a message stating that because the return tracking number was provided it suggests that we have the return and to issue the refund.

We have responded to this with the details and referenced the messages from the customer and Amazon customer service showing that the customer sent the phone back to Amazon and not us. We have to way of getting our phone back or even knowing if the customer sent the phone at all.
What are our chance of even winning this claim, or will we be out the full amount and the phone?
Even with full evidence and the customer's own words - somehow we are still at risk and the A to Z claim is not closed.
Any advice or help is really appreciated.
This is such a frustrating issue.
If it helps this is for merchant token A1YBE7E9TL0QJT
Thanks