I can't see why the firm has any right to keep any certificates belonging to you. They should be obliged to return them. Its no big deal to request what you own.
If you paid for the welder approval certs and they are in your name with no mention of your previous employer they are definitely your property and they should not have had the originals anyway
If the company paid for them they are their property. You couldn't use them at another employer and would have to re test to their procedures anyway so are only useful to you as a reference so I can't see why they wouldn't let you have a copy, bit petty of them I think
Unless it was agreed you were to be issued the certs, or it was part of a pay deal then as others had said they belong to your now ex-employers however you need to look at your contract. I take it you didn't leave on good terms, if you did you could always ask for them
I'm multi coded at the moment in Tig and Stick, as my employer paid for the tests then the certs belong to him. I'm quite sure that if i left the company then my boss would give me copies of the certs if i asked for them. As backpurge has pointed out, the certs would be of no use to me as i would have to re-test with my next employer anyway. Copies of current certs are only useful as a reference, along with your CV they prove to a prospective employer that you have a track record in work of that standard.