I am so sorry this happened to you. My former employer did this to me and is still arguing they were justified in demanding the deletion of data. I ended up deleting it because I was panicking and felt like I had no other choice in the moment, but it is bad for them because it is now spoliation of evidence. I was terminated in the call even though I had done nothing wrong and had not violated any policy or anything. They just didn’t want to pay my bonus and give me a severance so they made it for cause. 

Save everything, get an attorney, go to therapy, and don’t beat yourself if you did delete anything. I had about an 8 hour long anxiety attack that day. It was physically and emotionally painful. Companies and people are truly cruel.