Yahoo transaction? Western Union? Or just scam

Anyone knows if Yahoo is working with Western Union now? One seller from UK with 0 feedback asked me to pay a third-party "Yahoo Financing Transaction Agent" VIA WESTERN UNION first and the seller will send out the item when he got notified from that "agent" about the payment. That seller claims this is a safe payment method offered by Yahoo and the Yahoo Transaction Agent will hold the payment until I receive the item and if I am not satisfied in 3 days, I can return the item and get my refund back. Sounds perfect, but just can't find any proof from Yahoo's website even though I did receive a payment notice email from a Yahoo account and that email has Yahoo's logo on it, but have heard too much about scams using Western Union...