I tried to print a very thin sheet of paper (think magazine page) with my OKI c5400n, and it gave a paper jam error.
Now the page didn't turn up and I'm afraid it might bite me later.
I pulled out all user-servicable parts (4 color units, fuser unit, transport belt) but couldn't find it anywhere. I also opened the front feed and rear stacker, to no avail.
Where else could that sheet have ended up?
Print a blank document.
If it gets stuck, it should be easier to find. Best case scenario, it comes out with the first sheet attached.
Only alternative to that is to bust out a screwdriver kit, roll up your sleaves, and dig in.
The sheet of paper turned up in the toner collection bin attached below the transport belt. It must have stuck to the belt, pulled along to the underside and got stuck in the bin where waste toner is scraped from the belt.