It depends on the type of shipping through the postal service. If it was sent via Priority Mail, then there is a confirmation number that is given. If confirmation is purchased, then you should also be able to track it to some extent, but not like FedEx or UPS where you can see where it is every step of the way. If they sent it parcel post, then there is not number, but perhaps they at least have a receipt that they could scan for you? Did the auction specify the type of shipping via USPS that you were supposed to receive?
I have also sold (and bought) quite a bit on ebay and always tried to send my buyers the confirmation #, just for their peace of mind. I would politely ask for a confirmation # or a scan of the receipt (don't make it sound like you doubt him), but ask it in a way that makes it seem like you need the information to check with your local post office. Perhaps he will be more helpful then. Good luck!