A few months ago I applied for a job but refused to give the pay slip when requested by the HR. Then an hour before the interview, the HR suddenly called me and cancelled the interview, she said the company already hired a person for that position.  I wonder if it's because the pay slip issue, she labelled me as being 'difficult' and purposely 'kena' me... haha!

I think they use the pay slip as a measure on how much they want to pay you (if they hire you), not for the reference or documentation purpose of course. If it's for that purpose, they won't ask you to show before or during the interview, but will get it after they decided to hire you...