What do I do in this situation? Buyer did not get packaged because they didn’t fill in their address correctly.

This is an example, this was the full address on the order:

Bob Henry

WESTMINSTER, CO 80023-9342

No Street code so no way for USPS to deliver it, do I eat the loss and process a refund? Am I able to deny a refund without any blowback on me?

Any thoughts on how to handle this?