There is no law against unknowingly or even knowingly coming to possess a CD which contains illegally copied software. Installing or using it as software (as opposed to as a coaster) is illegal. Installing it, even if you don't know that the copy is pirated, is copyright infringement. So you were at risk, but dodged that bullet.
Suppose that somehow you had installed the game, gotten caught, and you get sued for infringement: can you sue Amazon? Maybe, but you would have to show that they were negligent. It would have been theoretically possible for them to detect that this was a counterfeit copy, but I think it would probably be unreasonable to expect they to engage in that level of over-scrutiny. So in the long run, it is unlikely that you can get anything out of Amazon.
Various forms of obstruction of justice are illegal under 18 UCC Ch. 73, and it is is illegal under 18 USC 1519 to "destroy evidence". But specifically
Whoever knowingly alters, destroys, mutilates, conceals, covers up,
falsifies, or makes a false entry in any record, document, or tangible
object with the intent to impede, obstruct, or influence the
investigation or proper administration of any matter within the
jurisdiction of any department or agency of the United States or any
case filed under title 11, or in relation to or contemplation of any
such matter or case, shall be fined under this title, imprisoned not
more than 20 years, or both.
You have to destroy evidence with the intent to impede, which it appears is not the case here. While the FBI is probably actively investigating the original distributors, the victims of the counterfeiting are almost certainly not of interest to them.