Don't let the buyer escalate the case, if you can help it.

Under the circumstances, it may sound counter intuitive, but if you don't get anywhere with eBay I'd personally approve the request because that puts the ball back in their court and requires them to return the item before a refund is granted.

If they are angling for a free item, they won't return it, but you have given the buyer the avenue to get a resolution.

There are a couple of ways this could backfire, so while I would take that approach to both call their bluff and avoid escatlation, refund without proof and a defect, the advice comes with that caution.