Message from buyer requesting documenation of conformity

I only sell USA/CANADA/MEXICO.

I got a message from a customer today: I’ve purchased your items and customs authorities (by EU regulations) have requested documenation of conformity for each toy to ensure they meet regulatory standards.

I’m not keen on sending it from my manufacturer in case they are a potential competitor. What’s best course of action – just to politely decline and ask them to return for a refund?