I got the same call, and the same message. Guy sounded foreign that I spoke to, and when I said "thank you", his response was "yeah whatever". Lol. Wanted me to call and something about going to a western union to get it in cash. Sounds fake to me.
You would be correct. It IS fake. You don't "win" a grant, you have to apply for one. And if you do get approved for it, you don't have to pay for it. Just ignore their calls and block them if you can.