Yeah... that makes no sense at all.
So RAM + video card = 1 continuous beep
RAM - video card = 1 short beep
Videocard - RAM - 1 short beep
Right...
Is this with the new CPU or is that the old one?
If it's the old CPU have you removed it recently? Try taking it out and making sure no pins are bent or anything like that. Just reseating it might do the trick - likewise make sure the graphics card and RAM are fully seated - sometimes it takes a bit of force to get them in.
Try resetting the CMOS - there may be a button on the motherboard, but the motherboard manual will tell you how to go about it. I seriously doubt it's that, but it's worth a go before you go to the effort of returning.
Did you get it all from the 1 supplier? If so, I'd ask if you could send the entire case back (take out the CPU heatsink and graphics card and package them separately or they could snap off in transit) and ask them to test it themselves. If they refuse, just send them the motherboard, CPU, RAM and graphics card (the motherboard carries the memory lanes and PCIe chip while the CPU has the memory controller on it). The absolute minimum to send should be the RAM and graphics card.