Can a collection agency keep calling if you tell them that the matter is being reviewed by your insurance company regarding a health care bill?

They can continue to call, but no court in which they would file suit would ignore the fact that you appealed the non-payment of medical coverage with the insurer. For the latter reason, I strongly doubt the collection agency will do anything other than continue to pressure you with phone calls -- meaning they don't have smart enough procedures to take into account the time for you to process an appeal with your insurer (or they believe you have enough liquid assets to pay the debt immediately).