My lawyer is requesting withdrawal from divorce case, can I directly submit financial records to opposing counsel?

The opposing counsel cannot communicate directly with you until your lawyer has withdrawn. Communication includes you tendering discovery documents. Don't worry, though. All deadlines regarding discovery should be extended because when your lawyer withdraws you will be granted 21 days to obtain new counsel or file your own appearance. 

“Unless another attorney is, at the time of such withdrawal, substituted for the one withdrawing, the party shall file in the case within 21 days after entry of the order of withdrawal a supplementary appearance, stating therein an address at which the service of notices or other documents may be had upon him or her” Ill. Sup. Ct. R. 13

Once you have a new lawyer or you're representing yourself, you can send a 201(k) letter explaining that you wanted to turn over the discovery but couldn't because your lawyer-at-the-time wouldn't cooperate. You have the documents now and they should expect them shortly.