This is a scam.  My employer received a voice message on the general number.  Someone named Sophie claimed to be from the "Illegal Payments Division of Western Union in New Jersey" and asked me to call her back at a '732' number.  I called Western Union to verify.  They said it was not associated with them and not to call back.  If Western Union actually calls you, they will give you an '800' number.  They will also not ask you to provide information.