Are you FBA or FMB? Did they request an official return request/replacement through Amazon?
There are many questions to be answered to help you with your dilemma.

Engage as little as possible. Be professional. Avoid the temptation to reply in kind. Do not drop to his level. If this escalates later on, you should be seen in a good light.

Dear [Byer’s name]:
Your order has been fulfilled by Amazon. To receive a refund, click on your name on the top right of the Amazon home page, select the “your orders” tabs and follow the prompt instructions."
Thank you,
A.B.
Customer service

Then report.
Mark all future messages as no response needed.

"Hello,

Thank you for contacting us. Your order was sold and shipped by Amazon and they handle all returns and refunds. We back all of our products and you can return for a refund within the window given you by Amazon.
Please open a return request and Amazon will handle the return and refund promptly.

Thank you"

I’d also add “you can return the unused product with original packaging and all accessories” even if Amazon lets them get a full refund for an empty package or an empty package for an entirely different product, maybe you’ll get someone who doesn’t know that.

How much is involved? Sometimes its 10.00 and sometimes its 100.00. On a ten dollar book sale my share is 6.70, and for the 6.70 that its going to cost me, I don’t want headaches. Uncle Charlie

So what are you waiting for? Is that money worth the time you are using to find an “alternate solution”, instead of using your energy on a more productive task, like selling?

Whether you are FBA or FBM we as sellers do NOT handle any money. That is done solely by Amazon.

I would inform the scammer (excuse me - Amazon Customer wanting to be “delighted” - I always get those terms confused) that it Amazon that they paid and its Amazon that must refund their money. Tell them to go to their order page and follow the necessary instructions.

Do not engage them with any other conversations like “filing for a return” or “requesting a replacement”. That is not our job as sellers - especially when the scammer (there I go with confusing terms again) gives you and ultimatum. Let them figure it out.

Good luck.

Educate the buyer on the procedural differences between returning a product on Amazon and holding a child for ransom.

This is a bit contrary to some of the advice here, but I would actually ask for some clarification. We get messages from people who sometimes mean to message another seller, etc. You can definitely give “contact amazon” speech, but I wouldn’t be afraid to lead with “Hello. I’m sorry to hear that you are unhappy with the transaction. If you can please let me know what the issue is, I would appreciate it.” and then on to the Amazon bit. If you do NOT do this, you risk them actually contacting Amazon or even filing a claim against you while still thinking you might be another vendor. Again, it happens from time to time.

Thank goodness buyers know where we live now, feels so much safer.