Recommend you write him a letter (you'll see why later), send it certified mail ail RRR,. In the letter lay out your scenario--his thret of the key and refusal to return it. Mention that you may sue him for damages if he doesn't return the working keys within five days.
After five days, request your LL change the locks and bill you. Then sue the roommate for the damages. The letter will serve as evidence of your good faith an dhis refusal
You MAY or MAY not get the court to cover your costs, the roomate MAY or MAY not answer your letter, the LL MAy or MAY not change the locks for you. Lots of MAY or MAY NOTS, only you can decide if its worth all the effort--maybe in the long run, better to negotiate with the LL a lock change and chaulk it up as a good learning experience.
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Short answer: Yes.
Long answer: You can but it might not be worth it. What are your damages? Changing locks getting new keys?
In any case, you should go to the Post Office and get your mail.. the PO should not hold mail addressed to you unless you have put in a valid change of address or request for hold. (Now if the roommate is related that might get tricky).
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