You should tell him that PayPal protection only extends if you're shipping to the listed address. If you do everything kosher by PayPal, you should be fine and it will be hard for him to make a stink, even if he is trying to scam you. So if you wanna give him a chance, tell him to change his address in PayPal if he wants you to ship there. Otherwise, yeah, refund and run.
Also, idk if this has been covered before, but a note on PayPal scams - some scammers will send you an email that looks like it's an official PayPal email telling you touve got money. When you check you're account though, you won't find any. I've had it happen to me before and luckily I checked my account. Reported it to PayPal and actually got a call from their fraud department asking for details, so apparently it's a concern, or was a few years back.
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