Deleted messages

if you have a device backup that contains the messages, and you do not use messages in iCloud, you can erase and factory reset your device and set it up using the backup. You’ll lose anything new since the backup was made but might recover your messages

Is your backup from after you received the message but before you deleted it?

You will have to erase the content of your phone and set it up again, choosing to restore the backup during setup.

Restore your iPhone, iPad, or iPod touch from a backup - Apple Support