If you were given a check or sent money some other way, and were told to send a refund by Western Union, it's a scam. The check is counterfeit or the money is stolen or something. You won't get to keep what was sent to you. You won't get back what you sent by Western Union. You will lose all of the money. And you may get arrested.
If you gave money to Western Union to send to someone else, and that person didn't get the money, so Western Union is supposed to give you back the money, the answer is that they need time to make sure that the person didn't pick up the money.
If someone else (anyone other than Western Union) was supposed to send you a refund and told you that the reason you don't have it yet is that it's being held by Western Union, they lied and it's a scam. Western Union is not used for sending refunds.
If you sent someone money by Western Union and they got the money and were supposed to send you a refund and told you that the reason you don't have it yet is that it's being held by Western Union, they lied and it's a scam. Money that someone has picked up from Western Union does not get refunded.