Customer has paid, but no order created

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So here's my situation; in some cases our customers are paying (they provide proof of payment to us), but no order has created in our backend. Shopify (Payments) refunds this to said customer, but only after 10-15 working days where we need to deal with the inconvenience of said customer. As you can imagine as a customer, if you pay, don't get your product next day AND have to wait 10-15 days to get your money refunded... you'll be angry.

So any experiences to share on how to deal with this and correct the situation? It's all shopify, so I'd expect it to work flawlessly... but we've seen at least 3 of those situations in the last 30 days.