I want to sue Western Union for theft of my money they have been keeping over a month now. Over 600 cases of such practice. Is it possible?

I sent $250 thru Western Union on 9/05 and cancelled transaction. They said at first "we didn't take your money" I Had Navy Federal my bank whom did the transaction call them. They now said it would be refunded in 24 hours. Never refunded. 3 weeks later I contacted Navy Federal, they called WU and they told Navy Federal rep, it takes 4-6 weeks! Think of the interest these crooks are getting. Now when I call they already know my number and I go straight to hold and nobody picks up. Navy Federal said it's my problem not there's. They were my acting agent, my own bank since 1992! There is a lot of people out of luck and give up. Not me! I want to sue them for fraud, theft, and anything else I can. Would make a great class action suit also. What do you think?