Although I agree with the general consensus here that is isn't genuine and probably a hoax, a shitty thing to do at that and paints WGs in a bad light, I would however tread with trepidation in terms of calls from the 'police'.
Many years ago I received a call on my work phone from a detective inspector blah blah blah. Shit myself at first, but then listened to him. My number had flagged up on a guy's phone whom they were investigating and they wanted to know my connection. Reluctant to confirm my profession verbally on the phone, I asked for his name again and said I wanted to verify his credentials with Merseyside police which I did by calling 101 and explaining what had happened and asking them to confirm he was a genuine member of their police force, which he was. I spoke to him a second time and explained what I did (they probably already knew) and that o couldn't recall whom the client was, which I couldn't.
So although different to your scenario, I guess in some circumstances the police DO contact both WGs and clients alike. I do agree with what has been said though about them not being interested in sellers/buyers of sex. They're looking for bigger fish but I do know in my situation it was a genuine copper.
Don't let it worry you though. I know I was anxious for a good few days afterwards and I'd done nothing wrong but it does make you paranoid so I feel for you. And whomever was winding you up, if that's what happened, will get their karma. It's a lousy thing to do.
Thanks
Bella xx