Be very polite. Respond to the case requiring them to return the set to you. If they bother to do that (most scammers won't, they're hoping you'll just pay them) dispute the return with eBay (there is an option to state they did not return what you sent them, and a place to add photos.)
eBay will review your track record and the buyer's track record. The most likely outcome, if the buyer hasn't tried scamming before, is that eBay will issue them a refund but not deduct from your account, IF you follow the return steps properly, dispute it, and don't become emotional and sound like a whack-a-mole in your communications with eBay and the buyer.
The next most likely outcome, if the buyer hasn't tried scamming before, is that they'll refund the buyer and charge that refund to your PayPal account.
The last outcome is if the buyer has a record of scamminess, and then eBay will refuse the return.
The buyer may not be lying. I personally purchased a set that appeared sealed and fine, for my Bricklink inventory, and when I opened it I found resealed LEGO bags full of random used toys. But Ed is right that on a low value set that seems less likely.