Has he actually told you that he is holding your pay stubs because he thinks you are trying to change employment? If he has, you certainly can complain to the Department of Labor because you are entitled to a written record of your pay, taxes, and other withholdings. Also, he cannot penalize you for considering a change of employment. That amounts to involuntary servitude and that is illegal. At this point, I do not think you need a lawyer to address your issue, but if his conduct continues, you might.
Any answers given here do not indicate the existence of an attorney-client relationship between you and me, or between you and my firm. In order for such a relationship to develop, I must be admitted to practice in your jurisdiction, you and I must countersign a retainer agreement, you must pay my fee, and we must speak in confidence. If all of these conditions are not met, I am essentially answering a hypothetical for the purposes of discourse.