This sounds like it's a bureaucratic hiccup. Your employer expected you to fill in a W4, and you filled in only the stuff he gave you. He may have expected you to fill it in of your own accord, or he may have forgotten about it. You and them are probably relatively new to the employer/employee relationship, so it's not too surprising. It's also pretty minor in the big scheme of things. You can download a W4 and have it filled in ready for the next time you go to work.
It's also (as far as I know) not absolutely necessary that you fill in a W4 before you get paid, although it is much simpler if the paperwork has already been filled in. your employer won't know exactly how much to pay you until he sees your W4, so he would have to go back and adjust things later. It also sounds like your employer is doing his best to sort things out.
Refusing to work at this stage would be an overreaction. If you need money now I would ask specifically for an 'advance on wages', i.e. giving you some money to tide you over now, which would be deducted when you are finally paid properly so you end up with the right amount. Obviously if time goes on and no pay is forthcoming, quitting is entirely appropriate, but with new employees and small businesses there needs to be a little slack.