The lottery criminals are threatening to report me to the FBI and the Secret Service. Can they do that?
The people who are threatening you are fraud criminals. They are participating in criminal activity. They cannot threaten you with notifying Federal law enforcement (the Federal Bureau of Investigation or the Secret Service or Scotland Yard) because to do so they have to explain the situation. The FBI and the Secret Service are aware of this criminal activity. Also, using threats to frighten you into sending them money is called extortion and is against the law in all countries. You do not have to worry about their threats. Do not pay any attention to them. Ignore their threats. It is a good thing to report the threats to the FBI or the Secret Service or Scotland Yard. You should do this immediately.