FBA订单买家没收到退款，就威胁说要举报我

不用你退啊。这是FBA订单，是亚马逊在处理、在发货。应该让她自己联系客服（而且订单是FBA的，所以他去开AZ的话，对你没有影响）。
最关键的是，你确定他已经退货了？不是骗你？
建议开case向Seller Support问清楚，再举报买家威胁你

可以发类似这样的回复给客户：
I'm sorry for your inconvenience and I empathize with your position, but please understand that this order was placed via "Fulfillment by Amazon" and we are required to direct inquiries on such orders to Amazon.
In order to offer you Amazon's quick delivery capabilities, sellers who use Amazon's fulfillment program also hand over control for all service-related issues on those orders. Although I realize its inconvenient for you, and I do apologize for that, Amazon dictates that they must manage any return or refund issues you have.
It appears that, unfortunately, the Amazon rep you spoke with gave you wrong information.