I don't want to give my son my tax return.
Why don't you want to give him the money?
My son is lazy and he hasn't worked since he turned 18.
It's unfair of your son not to work and to expect you to give them money. You're not obligated to give your able-bodied adult child any of your own money, so don't feel bad. If your son wants money, he should work for it.
I just feel bad because I know he doesn't have any money.
Then you should try to urge him to get a job and maybe point him to a recruitment center so that he would know where to apply for one.