Who you complain to depends on what EU country you live in they have a regulator you can complain to in the uk its ico. That said they probably wont help you,

Who you complain to depends on what EU country you live in they have a regulator you can complain to in the uk its ico. That said they probably wont help you, the complain is more about them leaking your PPI to a stranger. If the order was before GDPR went into place, then you are on your own. If you just want the data, best to just go back to them and politely ask if there is anything you can do to help them.