Up to certain extant (I think it is Rupees 2,50,000) no need to file any income tax return. Government of India has exempted this low income category from filing of Income Tax Return.
You say you do not have any income tax return. It means you must be falling under this category.
So I am unable to understand how some company can force to provide you Income tax return. Though they may ask for kyc. They are not an institution giving any loan / financing you. Just for refund asking ITR is really very disturbing factor.
I remember when I was 18, I filled out an ITR just for fun and I showed my income as almost NIL.
So you really dont need to have some income to file an ITR. Its just a document, and I dont know why people are so much afraid of doing it if they are honest enought.
If you are yourself stealing taxes then how can you expect the company to be absolutely honest with you?