I wanted to clarify the confusion about the relevance of filing taxes in order to naturalize. USCIS Form N400 asks about taxes in clear terms and it almost appears that if someone did not file their taxes with the IRS they are in trouble. Well, it is US law that in order to be granted citizenship one must be a law abiding individual and among many things it means that owed taxes should be paid. By making this an issue, the government makes sure that you pay your taxes before you naturalize.
However, not everyone is required to file a tax return. This is generally not true for most permanent residents because most likely they will have an income as a couple (in case the spouse stays at home or has been unemployed for years) either from employment or from investments. There are cases, however, that one may not owe taxes because the income is simply below the IRS threshold for filing a return. This can be true for either very young or very old applicants. So if you were not required to file a tax as per the IRS guidelines, you need not have a tax return for the application. Be prepared, though, to explain this in the interview, just in case it pops up. For instance, if you are a student and have only had summer jobs, you can have copies of your W-2 that will show that taxes were deducted from your paycheck but your income was too low to require a return.