While applying for a US/UK/Schengen Visa, what do you provide instead of Income Tax Returns?

Recently one of my friend's visa got rejected probably because he could not provide Income tax return. He is from Nagaland and applied for a Schengen visa at Spanish embassy. Since Sikkim is an Income Tax exempt state, what documents do you provide instead and how do you clarify that why aren't you able to provide Income tax returns ? Also have you faced any issue due to this while applying for a visa ?