What should I do with won region locked game?

Just mark it as "not received" and move on. Since you already told them to reroll, you've done your part.

Did you get a key you can redeem in your region?
No. → It was not received, mark it as such and move on.
It is the creator's responsibility to provide accurate region descriptions.

Try contacting the creator again at steam by friending him and explain him that you wont go through what he said and if you cant reach him Create a ticket at support explaining the situation and asking their advice

Okay, marked as no received. I tried one more time to contact GA creator, but he ignored my message so...
Thank you Seretti, talgaby, sephirotha7 and aDAMtWELVE :)