First you should know that New York State law expressly forbids payday loans. When you applied for the loan the online service should have blocked your application as soon as you indicated a New York address. Accordingly, this firm's efforts to collect this loan, assuming you were a New York state resident when you got it, is on legally shaky grounds. Second, one way to determine if you have any judgements against you is to pull your credit report and review the "public records" section. Third, since you are not sure whether there is a valid judgment, you can ask the debt collector for a validation/verification of the debt and judgement in writing. The debt collector must respond to this request within 30 days with proof of the debt, that they are authorized to collect it, and any information they have on the judgement. If they fail to provide this information in a timely manner, you can sue them under the Fair Debt Collection Practices Act ("FDCPA"t). (More likely than not if they don't have a judgment against you, you will not hear from them.) Finally, you should also be aware that if these individuals are implying that they are attorneys (and are in fact not) that is also a violation of the FDCPA.
I would strongly recommend that you contact a consumer attorney in your area who litigates FDCPA matters since I believe you may have several potential claims.
If you want to find an attorney in your area go to: www.naca.net.
If you doubt the credibility of the firm or the tactics they are using against you, you should consider contacting a local consumer law or debtors' rights attorney. The debt holder has to prove the validity of the debt and that they currently hold it. The Fair Debt Collection Practices Act and NY state statutes protect consumers from dodgy collection agencies. You could just wait this out and see if you are actually served with a lawsuit, but if you, take action then.
My answer is for only informational purposes and is not legal advice. I am licensed to practice law in Oregon and I recommend contacting a local attorney for the best help with your legal questions.
Most communities now have entered the electronic age & the courts post records of all lawsuits online for any & everyone to view. Sometimes you are required to register to use the site & pay a small fee, but most often, it is a free for all.
Here is how you find out if the collector is lying to you. Ask for the name of the court & the court case number. If they can't provide this information without stumbling, then there isn't any case. if they provide the case number too quickly, they are also probably lying.
Hope this perspective helps!