Not in oracle subquery returning 0 rows

This is returning 0 records.

         SELECT
               p.phone_nbr                             AS phone_nbr,
               p.caller_id                             AS caller_id
          FROM phonebook p
          WHERE     p.identification = '123456789'
          AND p.phone_nbr NOT IN (SELECT s.phone_nbr
                                  FROM status s
                                  WHERE p.phone_nbr = s.phone_nbr
                                  AND s.blocked = 'Y'
                                  AND s.phone_nbr IS NOT NULL);

However, if I remove the subquery records or if I run just the subquery then records are returned. Also if I hardcode the results of the subquery into the NOT IN like NOT IN ('9403459384', '800230493'), results are returned.

So i'm at a loss for why it's not returning anything. I've added the "is not null" to make sure no null phone numbers are getting selected but that didn't fix the issue.

Edit: Is it because there's no shared primary key constraint / unique between the two tables?

The subquery produces nulls and your query is not dealing with them correctly. The SQL Standard defines trivalent boolean logic (true, false, unknown) and you are dealing with the third case without knowing it.

Also, you need to understand well what "null" means in relational databases. A null means that the value does exist but, it's just missing. The NOT IN operator is particularly tricky on this. For example 3 NOT IN (1, 2, 4, null) evaluates to unknown since it's not possible to find out if the last element could be 3; since a WHERE predicate (unlike constraints) requires the predicate to evaluate only to true, the rows are discarded.

The easiest way of avoiding to deal with this fine grained trivalent logic, is to use NOT EXISTS (<subquery>) instead; NOT EXISTS is straightforward to understand.

For example, your query could be rewritten as:

SELECT
  p.phone_nbr AS phone_nbr,
  p.caller_id AS caller_id
FROM phonebook p
WHERE p.identification = '123456789'
  AND NOT EXISTS (
    SELECT 1 
    FROM status s
    WHERE s.phone_nbr = p.phone_nbr
      AND s.blocked = 'Y'
  )

It is hard to tell without the sample data, but you have a bit confusing sintax in your subquery. You are selecting from status table aliased as "s" and you use table name in Select clause but not in the Where clause - there is an alias used.
This might be causing the problem, not for sure, though. You could avoid the confusion if you left join your subquery to the main one and filter the result (using where clause) to just rows not matched.
Something like here (you should adjust it to your actual context):

Select
		p.phone_nbr     AS phone_nbr,
		p.caller_id     AS caller_id
From 		
		phonebook p
Left Join	
		(	Select 	phone_nbr
			From 	status 
		) s ON(s.phone_nbr = p.phone_nbr And s.blocked = 'Y' And s.phone_nbr IS NOT NULL)
Where 
		p.identification = '123456789' And s.phone_nbr Is Null;

The note written is not clear cause you have written that you are running the subquery independently and the records were displayed 
In the below query it will not be compiled - as if i just run the subquery then sql compiler will fail the query asking for p.phone_nbr

AND p.phone_nbr NOT IN (SELECT s.phone_nbr
                                  FROM status s
                                  WHERE p.phone_nbr = s.phone_nbr
                                  AND s.blocked = 'Y'
                                  AND s.phone_nbr IS NOT NULL);

To answer your question - the query will work with below rewriting
 SELECT
               p.phone_nbr                             AS phone_nbr,
               p.caller_id                             AS caller_id
          FROM phonebook p
          WHERE     p.identification = '123456789'
          AND p.phone_nbr NOT IN (SELECT s.phone_nbr
                                  FROM status s
                                  WHERE 
                                  s.blocked = 'Y'
                                  AND s.phone_nbr IS NOT NULL);