"How on earth do they get hold of ex directory phone numbers?"
They find one neighbour who will talk and will also sell them your phone number for a small fee? Oh and anything you do say to them will be twisted. It's what sub species (hack journos) do.
You should enlist the help of the good folks here to give you the best false stories. I suggest you tell them you saw a man with a bucket on his head, a Gingerist, a man in a Man U shirt carrying a ten pin bowling ball and someone door to door selling Turnip futures
The Alibis-R-Us service is still available should you need it
RIP the victims by the way