“everyone in my family circle is basically telling me that I have to go back to UCF, because if I don’t I’ll lose all my credits.”
It is unlikely that you would lose all of your transferrable credits. However it also is unlikely that all of your credits would be applicable to a new degree program. Many places will only apply two years worth of credits. Some will apply up to three years of credits. You already have four years worth of credits (if they are semester credits).
You need to meet with someone who can evaluate your current transcripts and see what those various credits add up to. You might be able to finish off a degree in something with only a semester or two (especially if you are willing to return to UCF). Working out the best way to get the undergrad coursework and research experience to prep for applying to the PhD programs that interest you is a separate thing. You might find that you don’t need to have a specific major as an undergrad, but rather certain coursework and work experience.