Had you taken a photo of the whole set? Was the game there when you listed the item? Did you say in the listing the game was included?

I'd contact the buyer and explain you can't find that one game and tell them if they want to cancel the sale that's ok, or if they want a price reduction you'll send them what you do have.

I hope you find it.

Even if they give you a bad review over it, you can explain that it was an honest mistake and you tried to make it right.