TA are casual labour. Tax is deducted at basic rate on TA earnings, and a normal tax code is not applied as in other employments.
You will not receive a P45 if you have decided not to attend for TA training again. You will however receive a P60 at end of tax year that will record your annual earnings. If, at this point in time you think you have overpaid tax, you should contact HMRC and explain your circumstances.