Cash Advance USA Being Harassed by People Claiming to represent Cash Advance USA. Internet

I am being harassed by several people claiming to be from Cash Advance USA out of Pittsburgh, PA. They claim I got a $300 loan from them and I'm being taken to court for not paying it. I demanded information from them as to when I supposedly got this loan (which I knew I never did) he said 3 months ago.

I checked my checking account while this guy was on the phone and asked for proof from him as there was nothing on my bank account (obviously) I told him I am not paying him for something I never received. I told him to take me off his SCAM list and to stop calling me or I would sue them for fraud.

They keep calling and none of them can speak clear English. Now they are calling themselves OFFICER so and so and that if I don't call right away my file is going to court in Pittsburgh and they will come after me. 

It is scary as they do know things about me. But I never got this money from them so there is no way I am paying them. I will not answer their calls anymore and hope they go away. Should I change my phone number? Should I change my back account? I don't need them randomly taking money from me. I stopped a recent scam called "iLender" from debiting from my account so I wonder if they are somehow related.