There was no notification before closing my account. I've just received an email: "Your Amazon Payments account has been closed" and thats it. It happened a good few hours after receiving "Payment initiated" email (about my Humble Bundle payment).

I'm using NordVPN. It's the first time I've used Amazon Payments through VPN. As Amazon writes: "our records indicate that an unauthorized person has logged into your account" - I don't think it can be connected to anything other than using the payments through the vpn from another country.