Threatning debt collector???? Help?

Hello, My name is Jeremy and I have a wife that took out a 300$ pay day loan. Due to fiscal reasons the loan is unpaid, how ever we have been receiving increasingly threatning messages, the most recent one ended with "If you have any concern for your life you will call us back." They are also threatning that she will spend 6mo's in jail unless we pay 560$. They would not mail us any documentation and would not let us speak to a supervisor. We are wondering what the validity of the 6Mo. jail time claim and what we can do about the threating nature of their calls?