I hate to be the bearer of bad news, but once you send money through western union, its gone forever. Your bank is not going to return it to you, under any circumstances. Western Union is not going to return it, either.
And of course, the police aren't every going to find this person except by sheer luck. They don't have the resources to track them down for you, either.
File your report, but don't expect anything at all to come of it in the end. Do not have false hope.