I'm with Jack, I figure she was lying. Since, as you say, they are not nice people, I would imagine their calling tactic would be to imply they knew you'd opened the email. What have they to lose? A denial from you? On to the next call.

I have my email set up to recover nothing but message subject lines unless the sender is in my address book. Then I can decide for myself if I want to retrieve the unknowns from the server.