Best case scenario: Chain derailled. You just need to put it back on the cog, and maybe adjust the limit screw.
Worst case scenario: Derailler hanger got caught in the spokes, wrapped around the cassette, broke the derailler hanger, broke the derailler, bent the crap out of the chain, and broke multiple spokes. You now need an entire new rear end...assuming that this bike actually has a removable derailler hanger. If the hanger is an integral part of the frame, the bike is garbage; throw it away, part it out, or learn to weld.
Fun story:
I used to be a mechanic at a real bike shop. It gets slow in the winters, so one holiday season I picked up some hours at Toys-R-Us assembling bikes, and RC cars, and other large kids toys. I am pretty confident in my ability to build up even the junkiest bicycles and get them shifting and braking to the best of their abilities. But this one lady tried to return a bike because we "sold it to her without a chain." I was speechless. I do not know how she thinks it is possible to build a bike and get it in working order, and never realize it doesn't have a chain. I replaced the chain for her, because it was the holidays and that was probably her kid's Christmas present, but basically told her to her face that I knew she was a liar and I would not replace the chain again.
But I agree with other posters that Craigslist sales are final. I have never bought anything on there and expected to be able to return it. You don't have a business' reputation at stake here, you don't need to honor shit. I would stop answering her calls.