Aren't you suppose to submit tax returns with your application? I thought that was a requirement.

Not necessarily. Only in certain situations. Take a look at the USCIS document: http://www.uscis.gov/files/article/attachments.pdf

I suggest that you go over your application with an immigration attorney.

Ok I see. So Only if I am applying for naturalization based on marriage to USC?

The best I can tell you at this point is, read the USCIS documents, and/or consult with an attorney.