In-game, not with the app, check each character's heavy inventory and if it is not there then go over to the Vault kiosk in the Tower and look for it there. The API has no ability to delete items, so likely the transfer simply failed due to a connection error and then dropped the weapon on a random character or in the Vault. Some times the API doesn't show the latest game information so via the app it may literally look gone, but in-game it will be there some place.