Landlord lives out of state, and feels laws from his state apply to him, not MA Law

I rent a home in MA, my landlord lives out of state. At lease signing, we paid 1st, last, and security, all with separate checks, all with the applicable wording in the memo line to indicate its use (memo:security deposit)
This was a year and a half ago, and we STILL do not have a reciept, or acct info on where the money was deposited. We made a request via certified letter to the landlord for this info, citing that the interest according to the law was to be taken off of the rent on the anniversary of the lease start. Landlord calls going completely nuts, saying that was HIS money to do with as he please, and that he needed that money to fund his cross country move, and that he had another year to earn it to pay it back to us. I gently pointed out that according to MA law, the deposit was to be in an interest earning acct, in MA and that we SHOULD have been provided a reciept and acct information. Landlord replies that he in not in MA so that law does not apply to him, as he resides in AZ. IS this true?
AND, if as I suspect he is incorrect, what do we do about it? I imagine at the end of the lease the landlord will have a zillion things that he can allege we damaged in his bid to keep the money, however in reality we have done every single repair ourselves, as the landlord is not local. We always call him or email him and tell him what the issue is, and he tells us to "fix it and take it off rent". The other issue at hand is AFTER he instructs us to do the repairs and deduct from rent, he will then balk after he gets reciepts and then tell us to instead spread the deductions over several months. We had, up until last month always complied with this request just to help him out, however last month the repair cost a few thousand. We ended up reducing the repair bill by 600, and only charging him one months rent worth. We essentially paid the labor ourselves.
So, what do we do now? Our money is long gone, isn't it?