No. In fact i would leave it as Single. What you claim at work doesn't have to match your tax return. That's only to tell the employer how much taxes to take out so you dont end up owing too much on your tax return. When i worked and married i always put Single at work to have more taken out.
We have a progressive tax system. The more total income you make combined, you pay a higher percent for tax. And each job only takes out like it is your only job.
