There is generally no legal duty to sign any document that an employer presents. If an employer wants to force you do sign a document, it could threaten you with termination. However, if you have already quit, then that will be a moot point.
Also, in general, documents that belong to the employer should be turned over to the employer when you leave as they are employer property. That would include copies. Now, if you have documents in your possession, it may be difficult for the employer to use a legal process to get those back. Therefore, it may be worth the risk to keep the documents. You should consult with an experienced employment attorney as soon as possible to discuss your possible claims, whether the documents are needed and whether you should turn them over. It is possible that keeping the documents can actually hurt your case because of a legal doctrine called the “after acquired evidence doctrine.” It arose in a case where an employee took confidential employer documents to help prove her discrimination case.
I think a consultation with an experienced employment attorney would help anyway aside from the documentation. The attorney will help you determine if you have a case or claim and to help you with bringing forward such case/claim.