Can they sue me?

Tow years ago I borrowed $300.00 from an internet pay day loan company. Over the next 5 months I paid them $1250.00 back. They said that was all interest (except for $50.00). I found out this company was not even licensed in my state--I close my bank account and wrote the company letting them know that they would get no more money from me. After a few nutty phone calls they faded away. . . now a "collection agency" is calling me at work and at home trying to collect on this debt. I wrote them a validation letter, I told them not to call me at all--to communicate only by USPS. They keep calling and leaving messages about some kind of law suit. Can they sue me for not paying an illegal lender? (I think $1250.00 on a $300.00 loan is quite enough!)
Please help! How do I make these people quit calling? (I posted this earlier but I don't know where it went)