What should I do?
Tell him that you're processing your annual tax returns and can you please have receipts for each of the payments you have made to him which have been stamped by his tax office so you can provide them to your tax office. Then an hour later tell him that it's OK, you've spoken to your accountant again and it seems that copies of the transfer orders showing you send money to his account will be good enough for the tax office.
Should I give-in and pay again? What do I risk and how real are his threats?
You most certainly should not pay again. You risk nothing, given that you can prove you've been paying the rent. His treats are meaningless. But, given that you now know your landlord is a liar and a cheat, you should also find somewhere else to live (now is a pretty good time to be looking).