I'm not sure since it has been over a month, but the few times I have cancelled sales and issued a refund my Etsy and PayPal fees were cancelled out also.
I would definitely cancel the sale using the reason for Etsy that you had an incorrect/incomplete address and was not able to ship the item. Make sure you follow through with the refund. Then make sure that you contact the customer both through convo and email to let them know that you had to cancel the order, issue the refund, and that it will be showing up on their credit card statement. Also let them know of the many times you had tried to contact them, and, if they still want the item they may still be able to get it. After that, don't worry about it anymore unless you hear back from them. After all, you will have done everything you could in this situation and gave them more than enough time to respond.