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Told me there was a complaint that was made against me. Had no idea what they were talking about and the person wouldn't reveal the information. I was threatened with a civil suit. What a way to make my day miserable.

I just got the same call claimed I had a Capital One card 6 years ago at an address that I have moved out of over 10 years ago. Honestly have never had good enough credit to get a Capital One credit card. She said I would have to prove stolen identity but would not give me any other information.

No, you do not have to prove to them "stolen identity".  Doing that would only give them a lot more information on you.  It is up to them to do the following:

It is incumbent upon them under the law to prove that the debt exists and that you owe it, and (this is the important part) that they have the legal right to collect it.  You are not obligated under the law to prove that you don’t owe or that it is paid.  

Federal law (FDCPA) requires them to send you a letter (US MAIL ONLY) postmarked within 5 days of their first contact that contains their name, physical address, the creditor’s name, and the amount of the alleged debt. It also must contains “mini-Miranda” telling you that it is an attempt to collect a debt and that all information will be used for those purposes.  The one other important thing that this letter must also have in it is that you have a right to dispute the debt within 30 days of receipt of the letter and if you do so, all collection activity must be stopped until the debt is verified.  If and when you get that letter you should immediately send that debt validation letter by certified, return receipt mail.

First, you should make a complaint at this Federal Agency, and while there you should also read up on how debt collection is supposed to work as well as what your rights in this matter are: https://www.consumerfinance.gov/

Also file complaints with the FTC: https://www.ftccomplaintassistant.gov/#crnt&panel1-1

Also file a complaint with your State Attorney General's office.
List of State AG’s offices:   https://800notes.com/faq/attorney-general