I would email or write to the landlord and confirm that the despite any requests to the contrary, the deposit refund is due entirely to you should be repaid back into the account that it was originally paid from and from which the rent has always been paid. Thank them for their understanding and trust that all is in order and your looking foreard to receiving £xxx.xx at their earliest convenience. No need to tell the whole story, just be brief and buisness like.
There is no reason why their request would take precedent over yours.