If I am in some kind of business and what the user want is what you can't give it will be best not to respond with his questions anymore because at this point he is not a customer anymore but is someone who will just ruin your day. For example if you can't provide screenshots of what he is asking and he can't accept your reason why and the conversation starts to get toxic I think just by saying a proper "I won't reply to you anymore" kind of last message is enough. There is no scam here but simply a user who didn't get what he is asking, he might be demanding for some but if the OP said he can't provide it for security purposes I think its good since do you really want businesses showing your personal info in order to make a sale?