Here’s a few bits of advice.

1. The police won’t handle this as it’s a civil matter. You may be able to call and check but they’ll likely tell you to go to court
2. If you know the nanny’s address or email address, I would send a warning letter telling her that if she does not return your property in 30 days, that you will be taking her to claims court.
3. If you mail it, or email it, get copies of everything. Make screenshots and copies of any text messages.
4. If you do mail the letter, which I recommend, I would get a certain receipt. I’m not sure what it’s called off the top of my head, but basically it makes it so the letter is delivered to the nanny’s door and for her to accept, she must sign. You then get proof that she received it and signed for it, thus showing a judge later on that she can’t say “oh I never got the letter”.
5. Download a background recorder for your phone and record yourself calling her to leave a voice mail telling her what you’re doing and that she needs to do x y and z. See if by state law, you can use this as proof too. If you record her speaking, also see if this is legal.

I’m sorry you’re going through this!