Welcome to the community guest. First of all this company (I use the term loosely) as far as anyone can tell really doesn't exist. It appears to be a overseas operation with calls forwarded through various state side telephone service providers. Also you cannot be arrested for defaulting on a payday loan or any other debt for that matter as they are civil matters, not criminal. By making such threats they violated the Fair Debt Collection Practices Act. I would suggest filing complaints with the Federal Trade Commission and your state Attorney General's office.
If you need any additional assistance please feel free to post.