I’m sorry to hear about this weird situation, GreenHorse!
I’m with you on being “baffled”.
It is NOT “end of story” that you lack a baptismal record. Such an unfortunate scenario is by no means unheard of, and of course you should be able to proceed through RCIA without that being a problem.
It sounds like the sister running the RCIA class is (unfortunately) confused. And worse, acting like she
isn’t confused. I agree with you that the way you’ve been treated makes it seem like the people around you are acting cavalier about something tremendously important (your entry into communion with Christ’s Church).
As others have said, definitely talk to a priest. Don’t lie about being baptized. Just tell the truth that you were baptized as a teenager in X denomination, but the church was demolished and they cannot provide a record. The priest will be able to check whether your denomination is, in general, one that has valid baptisms, or one that does not have valid baptisms. The priest will also be able to perform something for you called a ‘conditional baptism’, if necessary. Usually, baptisms would take place at the same time (just a few minutes before) you receive the sacrament of Confirmation, at the end of RCIA. It’s possible that a conditional baptism might take place separately beforehand (again, your priest could talk to you about that).
Overall: keep pursuing Christ! Your persistence is blessed. And remember that even in Jesus’ time, sometimes his disciples were woefully inadequate at helping the people who tried to come to Jesus. Please pray for the sister (and anyone else) who is putting up accidental roadblocks for you, and please be assured of our prayers here – and Welcome Home soon!

(From one convert to another.)