This sounds like debt collection, or perhaps we should say extortion dressed as collection. Could be the usual US lawbreaker or a fake collector from South Asia. Try to get a business name and share it with the readers. By federal law this name cannot be withheld.
On 800Notes in the ''Debt Collection Calls'' forum is a thread titled ''Fake payday loan collection scams - Please list new numbers here ''. My notes and advice on the payday loan collection thugs, updated Oct 2011, can be seen on the lead page.
The following will be useful if you have a US domestic collector calling:
official FTC guidance and staff opinions on the FDCPA, PDF copy of the Act
CFPB reiteration of the Fair Debt Collection Practices Act