Sounds like a new scam (or new version of an old scam). Did you use the automatic "print mailing label" function on eBay, or did you hand-write the address?
First thing you should do is call eBay and tell them the situation. Let us know what you find out.
P.S. If you feel comfortable doing so, let us know his eBay account since it sounds like he should be blocked.
I got the address from "print label" and hand wrote it. I did some googling and it seems you are supposed to only mail to the address that you get from Paypal. I guess I should have known that already, but I don't sell a lot. I had an unopened email from Paypal about the sale, and that email had the address he now says he wanted it sent to. So if it's a scam I don't think he changed his address at Paypal. The zero feedback makes me think scam, but it looks like it's my mistake? But then people who print labels off ebay, are they double checking with paypal?