A simple receipt should be legal too (depending on the country, of course). You should have PayPal’s confirmation of payment and very possibly a registration confirmation from the directory. If you paid via PayPal, they may not have enough info to issue an invoice (like full address, tax id number, etc).
There’s also the possibility that you need to log into your account in the directory and download it yourself. Some companies do have the invoice ready but will not e-mail it to you but leave it for you to download in your account profile.