I'd assume incompentence rather than malice. Perhaps buyer didn't realize it was an international purchase so really wanted to open Item Not Received case, or to cancel purchase due to change of mind.
I would accept the return then leave it as-is. Buyer has to provide their own label. Then the buyer has to prove to eBay that they returned something to you.
Given the cost of international postage the buyer isn't likely to post an empty package back to you. If no movement on the return case just leave it, it will time out after 3 weeks or so.
Keep screenshots showing the tracking status etc. so if there are issues you can later point out to eBay that return case was opened before item delivered.