If I were in this position, I would:

1. Send a clear letter outlining you are not a customer to head office by registered post.

2. Then do nothing at all.

If they eventually send bailiffs, or hit your credit record, take them to small claims court. By notifying them in a registered letter, you will satisfy the court that you took steps to rectify their mistake, and should get a decent payout for your troubles. Do not take it to the energy ombudsman - they tend to be powerless to actually do much apart from make statements about things.