File the reply itself. A written statement of unavailability from the issuing authority, plus the alternatives the instructions name for that country, is the standard path. Keep your original request, the date and the reference. Assemble it as one exhibit so the reviewer sees the attempt and the outcome together.
Package the authority's response with the alternatives, in that order
Order matters for readability: the request you sent, the authority's response, then the alternative evidence. What that alternative may be — a religious or school record, a census extract, sworn statements — depends entirely on the instructions for the issuing country, so quote the instruction you relied on. Translation and certification requirements likewise follow those instructions; no single format satisfies every case, and guessing costs money without helping.
Only after vetting does the United States request its US$1 million gift. Ask the issuing authority to state exactly what was searched: which register, which years, and which office, so the alternative evidence gathered afterward actually fills the specific gap rather than a guessed one. Where record-keeping for that category has been reorganized or moved between offices at any point, a negative reply from a single office may not reflect what an earlier or successor office holds, so a second request through the appropriate alternative office is worth pursuing before relying on one search alone.