In short, yes, your school has every right to request this information. If you don’t provide it, they also have every right to deny you ALL of your financial aid. When you signed the FAFSA, you certified that “If you are the parent or the student, by signing this application you agree, if asked, to provide information that will verify the accuracy of your completed form.” So, basically, you already agreed to give them the information they’re asking for.
But I'll touch on each point in your question, in order.
You are not under “verification from Pell.” Your entire application for Federal Student Aid (FAFSA) has been selected for Verification, which is a system of "checks & balances" that was established by the federal government to prevent abuse of the Federal Student Aid system. A student can be selected for Verification by the FAFSA processor OR by the school itself. Either way, the process requires your school to cross-check the information on your FAFSA with other documents like your taxes, W2s, and -- yes -- your bank statements.
Keep in mind that Verification happens *all the time* and isn't meant to be feared like an IRS audit. In fact, some schools are "100% Verification School,” meaning that they require EVERY single student (who applies for federal aid) to undergo this process. In short, no one is targeting you.
Who did you call? You can't "call Pell." That's the name of the Grant program (and the now-retired Senator it was named for). The only people you should be calling are your school Financial Aid Administrators. Federal regulations give the Financial Aid Office the “final say” in all of these matters. In fact, federal regulations concede that the Department of Ed cannot “limit the authority” of the Financial Aid Office, so even if you had gotten in touch with “Pell,” there’s nothing he can do, particularly if your school has a reason for asking for your bank statements (and they do: it sounds like your “bank interest earned” conflicts with the amount of assets you reported).
Schools are required by the government to resolve any "conflicting information" in a student's financial aid application. In fact, one of the things that we are trained to do is look at your "interest income" and, based on that amount, calculate the value of the assets you have. (It’s not hard. You can’t claim $100 in interest income and then say that you have $200 in assets. No one’s interest rate is *that* high!). If the amount of assets they calculate is dramatically different from the amount that you reported, that's a discrepancy that they must resolve before giving you financial aid. Really, all you need to do to is show them your bank statements and they will either say “OK” or they will correct the error to show your real #s. The only way you will get in trouble is if you are intentionally lying (“estimating” is OK unless you are purposely WAY off).
If your school selected you for Verification, it is very likely that the other people you called don’t have you on the “list” of people selected for Verification. Your Verification selection status will only show up on your FAFSA if (a) you were selected by the FAFSA processor or (b) if your school has sent a correction to your FAFSA that says “so-and-so was selected for Verification.” Unless they need to change some information, they won’t correct your FAFSA with this information; you may never show up on this “list” (which isn’t really a list at all but, rather, a flag on your FAFSA). Again, it doesn't matter what list you're on. If your school selects you, you're officially selected.
Just because your former school didn’t select you for Verification doesn’t mean they don’t select other people -- and it doesn’t mean that they wouldn’t have if you were attending there right now. Verification happens everywhere and has similar requirements at every school. However, each school selects a different number of students a different times.
You can opt not to complete Verification, but you will not be eligible for any Federal Student Aid, including (especially) your Pell Grant. The more you resist providing them with your bank statements, the more suspicious you look. If you have nothing to hide, hand them over. Because of FERPA (Family Education Rights and Protection Act) the information you give them will be confidential.