We extend fluctuation theorems to a molecular refrigeration system that consists of Brownian particles in a heat bath under feedback control of their velocities. Such control can actively remove heat from the bath due to an entropy-pumping mechanism [Phys. Rev. Lett. 93, 120602 (2004)]. The presence of entropy pumping in an underdamped Brownian system modifies both the Jarzynski equality and the fluctuation theorems. We discover that the entropy pumping has a dual role of work and heat.