score:6
There's only 2 valid outcomes for a US Visa application - it can be approved, or it can be denied.
If you applied for a visa, and you did not receive a visa, then your application was rejected, and thus you should answer "Yes" to that question. What you've described is a little odd, but the simple fact is that answering "yes" is the only safe answer - the consular staff will know your application history, and answering "no" where you have previously applied will not look good!
Given that you are required to attend an interview anyway, the difference between answering yes and no is minimal.