report this to the FTC at www.ftc.gov, also to your state's attorney General. Also notify the 3 credit bureaus,they'll put a fraud alert on your credit report. By the way, the Bettter business bureau issued an alert about phony debt collectors. This is definitely a scam; you cannot be arrested for an unpaid payday loan,it would go to collections and they'd have notified you immediately if this debt were legit; they cannot refuse to send you anything in writing, which they are required by law to do within 5 days of a call.
I think they hacked a payday loan website or something and that's how they got people's info.