If the client pays you nothing, then it is impossible for any feedback (or any information) about this job to appear on your public profile page.
The client is also likely to be asked for private feedback. That can have an impact on your Job Success Score.
Feedback manipulation, including a client threatening a freelancer with a bad rating, is a violation of Upwork ToS. You may report such behavior to Upwork Customer Service.
As Preston said, threatening bad feedback in exchange for closing a contract is against Upwork ToS and you can report the message from the client directly for us to review by clicking the little gear cog right next to the message and selecting "Report message'. Our team will review it and take action based on violations of our ToS.
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