A Secret Never to be Told

The other day I was complaining about the unbelievable excuse given for not coming to work of "My brother's been run over a bit", same guy did not arrive for his shift today, so called him when 30 minutes overdue. He gives his notice verbally. Why? Because we have asked him for some confidential information that for some reason he does not want to give because he feels "embarrased".
Now I can understand feeling embarrased if he had been asked for intimate personal details such as willy size (in his case approximately 3 nanometres - judging from his clear lack of testicles) or how many times he went to the lavatory. But no, it wasn't anything like this. Oh no, it was something much less serious.
Just as an aside, I am a qualified nurse, letters after my name, a good few years man and boy behind the bedpan, fully signed up registration with the governing body which has a code of conduct and very clear guidance on confidentiality. And I've heard some things that you just wouldn't believe and I can't tell you about either - probably just as well as I don't want to cause an outbreak of disgust (well not yet anyway). I've also signed the official secrets act - so I know how to keep things under my hat, so what's the big fuss all about.
So back to the plot, what doesn't our man want to show us - his payslip from his previous employer to confirm how much he was being paid, as we had agreed that he would be paid initially at the same rate so he wouldn't lose out. He claims that this would embarrass him severely and he's never heard of anyone else doing this and he thinks its all to do with his immigration status. At this point various alarums and diversions, exeunt careworker stage left pursued by a bear etc etc. Methinks the lady doth protest too much...