Why couldn't they threaten to stop delivering? I was under the impression that only the Postal Service (USPS) had a regulatory mandate to serve all US addresses.
If you got a judgment, you would get a prompt response.
Problem you'd probably have is getting the judgment, if they show up at the hearing. Their clickwrap agreements are one barrier. Also, you have no relationship with them -- you weren't the customer (and if you were see point 1).
Would be interesting to see what type of claim would work. Maybe conversion (ie theft) if they delivered it to the wrong address. But if they just hold it at the depot, I don't know what claim you could make. Would probably have to take it up with the seller.
A lien is a claim upon a part of another's property that arises because of an unpaid debt related to that property and that operates as an encumbrance on the property until the debt is satisfied.
You have nothing to lose, it’s not like they could threaten to stop delivering your packages.