before you do anything Inspect the hive. if the queen has been in the hive for a few days then they usually do not fly, they scurry to the safety and darkness of the hive. If there happens to be another queen in the hive and the caged queen has been harassed by a dominate queen she may not have felt safe in the hive and that caused her to fly. Now I am not saying that is the case. but could be and bears investigating. No sense getting a new queen it there is one there.
If you see no signs of a queen, Eggs, larva or a her majesty in person. Then order another queen pronto! A new package is tenuous to begin with, left queenless they become very frantic. Leave the empty cage in the hive to make full use of any hormones it contains.