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.
Get a voicemail it seems almost every day someone claiming to be western union. Never any details, just a polite request to call them back. Sounds professional enough but I have no business with western union and the number they are calling I almost never use.
Can't say 100% this is a scam, but I'm never returning their call.
They left a message initially identifying themselves as Western Union. Since then then they call every day, sometimes two or three times, and do not leave a message.