The most likely thing is an airlock. It depends on how high your tank is above the burner as well. Put a pot under the oil pump, put the grubscrew back in, and then open it a couple of turns, then try and start the boiler. You may see bubbles being pushed out, and it may take several attempts. There is a surprising amount of oil needed to fill the pipe.
DON'T try this with the plug out or you will have a jet of oil hitting the far wall.
You should take checking the oil level more seriously, you may have run out, and you may be able to blame someone else for not checking, but you didn't check either. Even if you did, what do you do if the oil gets stolen? There is a lot of it going missing these days, and I mean A LOT.