If I have defaulted on a pay day loan, can I be threatened with check fraud because the money was not in my account when they tried to collect it?

Typically not, the issue is whether or not you issued a check or other payable instrument knowing the monies was not in your account at the time you issued the check. Mistakes happen, but if it can be shown that you knowingly and willingly presented a fradulent check that you knew had no available means to be cashed, then yes, you could be charged with check fraud.