Rigby and Peller claims it sent seven sets of the handmade Autumn/Winter 2010 collection to New York for the Paparazzi singer to wear in a new music video.
But only three were returned in time for the catwalk show, which was unveiled on Thursday.
Rigby and Peller holds the royal warrant to provide underwear to the Queen..
And the firm alleges only three sets of underwear - which made it safely across the Atlantic - were brought back in luggage. But the rest of the collection was reported 'AWOL' by couriers.
It was an unusual pairing to say the least. But a spokeswoman for the lingerie company which only sees customers by appointment said: 'Obviously we were delighted that Lady Gaga wanted to use our new pieces in her next video but we did stress we needed them back in plenty of time for our press show.
In a bunch: Underwear Lady Gaga borrowed for a video shoot from royal lingerie company Rigby and Peller has gone missing. Gaga seen here in 2009
'The last we heard the underwear was still 'AWOL' and we are not sure when we will see them again. If we don't get them back then it could hold up the whole production of our AW10 collection as they are the prototypes.'
AWOL: The upmarket lingerie store that has claimed it sent seven sets of the handmade Autumn/Winter 2010 collection to New York for Gaga to wear in a new music video. But only three were returned
Celebrity clientele: The designs were protoypes from the company's new collection (STOCK IMAGE)
Visits to the store are by appointment only.
A spokesman for Lady Gaga said: 'We have nothing to say on the matter.'
Meanwhile the singer suffered a vocal malfunction as she performed her new single on American Idol last night.
The strong voice normally demonstrated by the 24-year-old star sounded much weaker than normal as she took to the stage on the U.S. talent show.
The singer started her performance sitting at a piano which she played as she sang the opening lines of her hit song Bad Romance.
But she appeared to struggle slightly with the song, her voice slightly shaking at times.
And during the opening lines, she even appeared to go slightly out of harmony as she came in on the wrong note.
But in true Lady Gaga style, her outrageous outfit, a fishnet bodystocking decorated with lace, would have provided a distraction from her wobbly vocals.
GaGa's Monster Ball Tour started in the States in November last year, before it made its way to the UK in February, and then headed onto Australia, New Zealand and Japan in March, the last gig of that gig played in Yokohama on April 18.
She brings the tour back to Europe and will hit the UK later this month.
Risqué: Gaga in a sexy fishnet and lace body stocking on American Idol from earlier this week