The inside of the camera will look something like this:
Film is loaded on the left, and then you pull at the leader out sufficiently far:
The wording in the manual is "to the red mark" which can be seen just inside the right hand part of the camera.
Note that the leader is pulled all the way to the right spindle. If it is not this far, the film will not be caught by the winding mechanism and, well, the film won't advance and you won't take any pictures.
This is likely what happened.
Another option is that a sprocket in the film tore when the film was being advanced. This would have been in the very early part of the film, possibly the leader which would have prevented the film from advancing, even if it sounded like it was. Examine all the film including the leader if it was returned to see if this was the case.