If the status shows it was delivered, then I would ask the customer to check her local postal office for any packages, as sometimes when a failed delivery occurs, the postal office will hold the package for a short time. Tell the customer that the delivery status shows a delivery was attempted on "XX" and a notice was left by the postal service.
Most people would say that as a seller, it is our responsibility to ensure that the customer actually receives their package, however being that your tracking shows a delivery was attempted and a notice was left, then it's likely it was stored at the nearest post office or if the customer lives at an apartment complex the package could be in the main office.
You can report the harassing messages to etsy, however Etsy will ask that you first send a message to the customer that says "Please do not contact me any further". Once you have messaged the customer that, if they continue to send you harassing messages then Etsy will usually step in. Just forward all the messages to Etsy at that point.