I'd contact the insurance company for a refund.... hopefully they can help you...
To the prior posters, dealerships make a pre-liminary approval with a finance company. They send the application and contract to the finance company so that they can be paid for the car. If the finance company cannot make final approval on the loan, they deny payment. I'm sure the dealer did all they could to get paid... something must have gone wrong with the approval which fell through.