Unless it was a handgun in a boc small enough to fit in my mailbox the postal carrier is supposed to leave me a notice to pick it up from the local PO. When I got there and saw who the package was from I should refuse delivery which would mean the package is returned to the sender. While it is on the way back Iwould call and advise them of the error in addressing it.
With that in mind, if my local carrier did not follow procedures and left it, I would call my local ATFEieio office for guidance. From a phone that could not be traced to me.
My hope is that they would instruct me to take everything to the designated FFL and ask them to process it onto their books as being received from the seller, and then to transfer it to me. If that's what was said, I would ask that they initiate a 3-way call with the FFL and repeat everything. I would be using my digital voice recorder from the beginning of the call. (I'm in a one-party state so no problems. If you are in a 2-party or all-parties state follow those rules.) I might also ask that an email or fax be sent to the FFL covering what was said in the phone conversation.
Once the FFL is identified to ATFEieio they can try to ID me if the FFL keeps a list of guns they are expecting to receive and who they are for.
After getting all that done I would contact the sender to advise them of the error in who they shipped the gun to, so that they could get ready to answer questions from their friendly local AFTEieio agent.