This is a coinbase wallet, so I don't have access to the private key.
If its actually coinbase wallet then it does provide 12 seed words which is BIP39, so it can be imported to electrum or you are talking about coinbase exchange?
So the sender is using unconfirmed spent transactions to send my transaction? How is that even possible... would it be possible that coinbase is using CPFP on my transaction, since it came with high priority rate fee and they own my private key?
It is possible to spend the unconfirmed transaction on a new transaction but the second transaction will be confirmed only if the funds from the unconfirmed transaction get confirmed.
Coinbase will not do CPFP, it will be unconfirmed until nodes drop the transaction.