You will not go to jail if you don't pay back a payday loan you borrowed so if the payday loan company threatens to have you arrested then don't worry about that as they cannot put you in jail for owing a debt.
The payday loan company can however take you to court and sue you for the debt owed and then could with a judges permission garnish wages or take other assets such as a car or even your house but that is rare.
If you do get sued show up at court and prove to the judge why you're unable to pay the payday loan back as it will be much better for you.
If you don't show up at court for the debt then the judge will rule in the payday loan companies favor.