They've opened the wrong case , because they have nothing to return.
Send them a message to explain the above, and they need to close the case, then you can then cancel the order which will fully refund them. You do not pay seller fees as a Private seller.
To cancel, click on the order details, from far right and More Actions select Cancel this Order. Select the reason buyer requests to cancel, This refunds them and your seller performance is not affected.
Once the cancellation and refund is complete you can relist the item for sale if you wish, I would also block this nuisance buyer from returning, do so adding their ID here:
https://www.ebay.co.uk/bmgt/BuyerBlock?
@spray696969