Amazon Buy Shipping protection Coverage .

Buyer contacts me 3 weeks after scheduled delivery to tell me the package never arrived, wants me to refund them . They said Amazon told them the seller automatically refunds then files an A to Z claim to possibly get my money back . That’s how Ive done it in the past . since I buy my shipping from Amazon, Amazon normally covers the cost without me filing a claim. Is this a new protocol that I am not aware of or am I being scammed?