visa- 2nd job tax returns problem

[computaboi]

I have always worked 2 jobs since I have been employed.
I used to work for company 1 & Company 2 till November 2012.
In November I stopped my 2 jobs relocated to a new place as I got a permanent position offer with company 3. I am also a self-employed.
In all the above 3 companies I have worked as a PAYE.

I am going to apply for tier 1(G) extension in the very near future,
issue I have now is company 1 has deducted my PAYE tax but company 2 never deducted any PAYE tax from my 2nd job.
Amount I earned from company2 is little less than £3000 but it is absolutely crucial for me to meet to required earnings band.

I don't suppose HMRC adjusted my tax code or anything like that to deduct the total tax appropriately from my main job.
TBH I neither tried to hide it from them nor tell them. I just didn't care.

It's totally my fault I knew they weren't deducting taxes of my 2nd job but I always thought what's the point to tell them now as I declare my 2nd income and self-employment income during self-assessment online at the end of the tax year that way I get me more time to pay my taxes.

Will UKBA raise any questions on why taxes haven't been deducted from my 2nd job? if they do how do I support my selves ?
I genuinely declare all my earnings at the end of the year but question is how do I prove to Ukba as I am sure they won't take anyone's word for it unless it is in writing by HMRC.
Do I have to request letter from HMRC what letter should I request ?

Any suggestions would be greatly appreciated.