Definitely the embassy lost those and are trying to get away easily by saying thise may have been lost by USPS. The priblem is that u cannot do anything.
But don't panic, u dont need visa to stay in US and ur visa on ur old passport would no longer be valid since the passport itself would have been invalid after u get ur new MRP. If u r on f1, ur i-20 id is ur status and if u r not h1, ur h1 acceptance is ur status. You need visa only when u want to enter US, so if u go back out of US, u have to apply for new visa in ur MRP to get back in, which u had to do anyway even if u had ur old passport.
So in regard to ur stay in US, u have no problem with not having ur old passport. Nepal ma janda chahi new citizenship certificate banaunu.