I closed my account with them because of their dealing. I owe them money which I set up a payment plan that they approved but I'm without work and my unemployment was sent to them by mistake which they levy against my debt and even though I don't have an account with them. They will not give the check back and now I have no money for another month. Can they do this ?

If the check was deposited in your account and you owe them money, yes they probably can. You need to read the contract you have with them, but it probably permits them to take money owed from other accounts.

By the way they did not levy your unemployment check, they levied the balance in your account. How that balance got there is not their concern.