You are either young, or have seen too many movies. Where? Where do you march these Marines into? These would be files held by numerous different agencies? Where do they keep them? Do you know? How would he know? Generally, when you are POTUS, people comply. This is the first case in history where there is a civil war happening within a government of this scale. Really put yourself in that situation. Imagine going into the biggest deepstate beaurocracy in the history of the world, and demanding that someone produce documents; from exactly where you don't know. You could go through endless levels of people stalling, which is exactly what happened... until the clock ran out.