It sounds like all good advice so far 82ndtrooper. I see no reason this firearm shouldn't have been returned to you, unless it came up as stolen on NCIC or other sources, based on the facts posted here.
The main advice that I would give to you, is keep your temper under control, when dealing with the police department. You are within your rights to talk to anyone in that department about this incident to include the Chief. I think you can be persistent in following up on this weapon, without adopting an 'attitude' or losing your temper when talking to them. It will not help in your cause at all.
There are plenty of options to follow, if the firearm isn't returned to you. Many have already been mentioned already here. The Internal Investigations unit (if they have one) would have to investigate a complaint from you. That said, I would try to deal with the investigator assigned to the case, until such time as he/she failed to solve the situation. IMO, Keep it in that department, until all avenues there are exhausted.
When you have done this with no results, take it to the next level outside the department.
BTW: Pete's advice on local firearm laws, etc., should be heeded as well. Like he said you are drawing attention to yourself and maybe causing some anger within that department, etc.
I wonder if the Chief's position has been filled?
http://www.theblueline.com/feature/KYcovingtonpc.html