FWIW, the head of Cuban counter intelligence at that time, Fabian Escalante, gave this account below of Oswald's appearance at their Consulate. Note: He said that the Cuban government found additional witnesses who say they saw a man in an argument with Azcue and later said after seeing photos of him that the man WAS Oswald. From that and other evidence, the Cuban government concluded that it
was Oswald and not an impostor. He argues that Oswald was sent by the CIA to implicate Cuba in the assassination.
Most important he doesn't mention anything about anyone hearing Oswald making a threat against JFK. Anyway, as I said, take it for what it's worth.
This is from the book: "JFK: The Cuba Files: The Untold Story of the Plot to Kill Kennedy."
