If your relative died sine prole, it means they did without descendants or issue. Sometimes genealogical publications abbreviate this as d.s.p. The person should still be researched. Note if it is indicated that your direct line ancestor d. s. p., then you’ve got some more research to do. If they actually had no descendants that means they are not your direct line ancestor.
Just because an envelope indicates the letter was returned because the person was not at that address does not mean that they never lived there. They just could not be could not be found there on that date. Use the address to look for the person in local records before the date of the postmark. They could have lived there for years before the letter was mailed. And, in the case of large cities with specific addresses, they simply could have moved a short distance away and left no forwarding address. Even “errors” are clues.  
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