I'm Lucy, and I'd be happy to answer your questions today. I'm sorry to hear that this happened.
This is unfortunately a very common scam. Someone gives you a fraudulent cashier's check and asks you to deposit it and send them money (the reasons they give for doing this vary), and then the check bounces and you're out the money you've sent. Or they send you a direct deposit, take it back, and close the account immediately. Western Union and your bank are very limited in what they're able to do other than take down a report, but you can report the theft to the Internet Crime Complaint Center and the FBI will investigate.
One of the most important things you can do right now is watch out for follow-up scams. Sometimes in this situation, the scam artists will have a friend contact you and offer to get your money back - for a small, upfront fee, sent via Western Union. It's just a more despicable part of the original scam. Don't fall for it. You can wind up throwing good money after bad and losing even more. The unfortunate reality is that most victims of these scams never get their money back, and no law enforcement agency would ever make you pay to receive the services that your tax dollars are already paying for.