I’ve been out of the selling game for a second but I’d check on whether eBay backs you on awarding the refund UPON the safe receipt of the item back. That would keep you from feeling pressured to send a refund before you receive it back. They should but I haven’t been in a pickle like that for a few years.
If it’s genuinely lost on its return to you or it arrives damaged, I don’t think there’s any way for you to keep the money. As I said check with eBay/PayPal but both the original shipping and the return are part of your contract with the shipping company. The buyer didn’t ever assume possession or ownership of the package and the return shipping wasn’t a separate transaction where they purchased the shipping, so they aren’t the one liable for a lost package.
All that said, eBay and PayPal and the shipping company and other third party contracts never stopped sellers from inventing their own rules and trying to force buyers to give up their rights to a refund, so, if you’re wild like that, some sellers do go nuts and make the buyer open a case and force a refund.