If there's no paperwork specifying custody, can I keep my child in New York (for example) and not return him/her to Maryland (for example) while I file for custody?
You can, but this tactic may backfire on you. Judges don't usually appreciate this kind of interstate 'sleight-of-hand' with a child. The judge will likely see this for what it is: an under-handed trick to gain an unfair advantage in a custody dispute.
These kinds of maneuvers often worked ten or twenty years ago, but these days they're more likely to be held against you.
If the child has an established custodial environment in one State (i.e. has been living there for some extended period of time), your not returning the child to their residence in that State will probably be viewed as interfering in the child's normal life.