You should talk to your girlfriend about this. Tell her that her family is sending threats to you. A relationship does not depend on one person, you both have to take equal responsibility. Therefore, she should know about her family’s doings. You can also request her to talk to her family about this. After all these events, if they still try to give you threats then you can file an FIR in the nearest police station for criminal intimidation under Section 506 IPC. A threat can include those that are conditional on the person doing something or failing to do something. A threat is any words, written messages, or actions that threaten bodily harm, death, damage to real or personal property, or any injury or death to any animal belonging to that person. A threat can include those that are conditional on the person doing something or failing to do something. As you said your girlfriend’s family is giving you threats then you can surely take help from the police.