I love these scams. I would give them some bogus address/name and go with it. At least it will take time away from scamming others.
My grandparents got scammed like this a few months back. These people called from a computer that put my cousin's name on their caller ID. They claimed she was in a Canadian Jail and needed 2000 to bail her out. They sent the money. These people will try anything to get money for nothing.