A friend reported a similar scam from her "favorite nephew". She played along but when they called back to see if she had sent the money, she said she wasn't going to, she had talked with each of her nephews and they were fine. The caller grew very hostile, calling her a "whore" and worse and said "we know where you live." Very scary.
Be careful if you decide to play with them. Nothing happened to her (they're probably in Albania or somewhere), but you never know.
Does anyone know who you are supposed to call if this happens? The FBI? Your state attorney general's office? Who?