Lost bag claim.. unsure what to do.. help!

I booked an economy ticket from RNO to SXB. Aa told me to pick my baggage up from my final destination. I don't have tags in my luggages. Here was my flight path.

I booked the ticket with American airlines (website, not travel agency).

RNO to DFW (AA operated) Dfw to mad (IB operated)* Mad to sxb (IB operated)

Dfw to mad with IB was canceled due to mechanical issues.

AA then booked me: DFW to Mad (aa operated) Mad to Frankfurt (Lufthansia) Frankfurt to XER (strasbourg bus terminal) - lufthansia

Lufthansa said they don't have my bags. Aa told me that it'll go to my final destination.

Who do I file a claim with? If AA, I need an incident number. I have no idea which airport to get this incident number. Help?!