At this point, I would not trust anything the scammer says. They are simply deflecting you.
is used to get INFORMATION from third parties who have evidence that may be useful in a case. This is only available in litigation
A subpoena would be useful here in getting information from the bank as to WHO picked up the money. However, this may not be practical, because (a) one would have to sue in a Malaysian court and use their court system's equivalent of a subpoena, or, (b) sue in US but still enforce the subpoena in Malaysia, which requires filing in Malaysia anyhow.
A civil subpoena is not going to help you here much, likely. This was a criminal scam. You may want to contact the Malaysian AUTHORITIES. Unfortunately, scammers normally cover their tracks well.
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