Yep, there's always that annoying one buyer here and there amongst, thankfully, more of the good ones!
Personally, I think if they ask to cancel ( they cannot do this from their end) cancel the order citing Buyer requests to cancel. This refunds them if they've paid, and your seller performance is not affected.
No point sending it if they don't want it, high chance it will be returned to you damaged, and you may end up fully refunding and no item, or a receive a damaged one.
Block this annoying member from returning and messing you about again here:
https://www.ebay.co.uk/bmgt/BuyerBlock?
@cblack68