I would say that you shouldn't take on more responsibility/guilt than you need to. The tracking information says it was delivered and your policies say that you're not responsible for lost packages. You've done all you can do; at this point, it's out of your hands.
Be polite to her, apologize for the mix-up and say you hope things still went well or something, but don't make things more complicated for yourself than you have to. If you really feel like you're being unfair to the customer, you could maybe offer her a partial refund but remember that you have to be fair to yourself as well as the customer! It sucks if she didn't get her order but it's not your fault and you still deserve to get paid for the work you put into those items.