Hello toosympatico,
Thanks for posting in Apple Support Communities. You've taken some great steps so far. The guidance in Delete and recover messages on your iPhone or iPad is best for this issue and it sounds like you've tried those steps. Since your conversation does not appear in Message or Recently Deleted, it may have been permanently deleted. We'd recommend checking to see which option is selected from Settings > Messages > Keep Messages since you message may have been automatically deleted according to that setting. That will prevent this happening again in the future.
From Settings > [Your name] > iCloud, is Messages enabled? We ask since the setting there will determine whether your messages are included in iCloud Backups of your iPhone. If Messages is enabled, your messages are not included in iCloud Backup as mentioned in What does iCloud back up? If Messages in iCloud is not enabled, you may be able to restore your iPhone using a backup but this would not only restore messages but all data on your iPhone would be set back to the date of the backup.
Take care.