Am I crazy?

So applied to a Labor and Delivery job in my hospital about a month ago. We did a pre-interview on Zoom and everything went good so I was offered the chance to shadow on the floor then after do an official interview. However, that's when things took a left. During my shadow the nurse manager who I spoke to on zoom approached me and said later on after the shadow we would do an interview. Once the shadow was over as I am walking towards the managers office I can hear people inside laughing and talking however, upon knocking on the door nobody answers it. I was forced to return back to the nurse recruitments office where I explained to her that I never did my interview. She then emailed the nurse manger and 1 minute later she responded saying she didn't have anything to ask me and was wondering what I thought about the unit. Two weeks later I was told I didn't get the job. Feeling confused since our pre-interview was so good I emailed the nurse manger asking for positive feedback since in the future I would love to still work with them. She responded saying she would provide feedback however, it's been almost 3 weeks and nothing. Am I being crazy or did I truly not have a fair chance? Should I speak with HR or even the director of nursing because I never even got an interview to be denied the position to begin with? 

Also I do currently work at this hospital and don't want to cause any problems for myself but to be denied a dream job without even a fair interview is kind of unfair and crazy to me. I don't know what I did wrong.