So the sender is using unconfirmed spent transactions to send my transaction?
Yes.
There's a very long chain of unconfirmed transactions.
How is that even possible...
That's possible. You can always spend the fund even if the parent is still unconfirmed.
since it came with high priority rate fee and they own my private key?
No, they won't do that.
Also note that it doesn't matter how much fee was used for your transaction. What matters is the effective fee rate and as I already said, that's only around 17 sat/vbyte.