You can do it if you want, but the law is on your side. Companies cannot hold back paychecks, even if returned. After a number of years, it would become escheated property and would have to be reported to the state, who would turn around and try to find you. That's what you see once in a while in newspapers when the say "The state may owe you money" and then they list you. Anyway, getting off subject there, don't fear, they will issue it, but if you don't send it back they have no way of stopping you from cashing both.