If you called and cancelled the order and/or have proof of that somehow, well, it doesn't matter whether they sent the product or not. If you have proof of cancellation, your credit card company should be able to help. You are under no obligation to return it if they are not being responsive to you.
With that said, if there is no proof they sent the product and you did indeed cancel it and were never refunded, well I think your bank or whatever would be even more likely to help you out.
You can certainly, if you received it, write "return to sender" on it and then put the IQOS in the mail to return to them and what happens after it leaves your mailbox is not really your problem. Etvc.
Best of luck.
Anna