If they send a third party, that is, their own courier or other means then no, the buyer will not be covered by eBay's 30 day MBG policy.
However, not sure what they are inferring to invoices / postage labels being sent elsewhere, inform them the whole payment process has to be done through eBay , and eBay checkout. If they start giving different addresses for any aspect of the sale, then inform them you will have to cancel the order.
Cancel it citing Problem with Buyer' address, this then will not affect your seller performance, I would block them too from returning.
Add their ID here:
https://www.ebay.co.uk/bmgt/BuyerBlock?
@backdoorman411