OK, I leave an AMP in MD. Cop comes to my car and wants info. Told him nothing happened because they made me wait too long and so I left. (The truth) What is the right thing to do/say. How much trouble can one get into in this situation?

That was definitely the right thing to say. What AMP was it you went to that this happened. Let us know.

You do not have to say anything, the less you speak the better. Answer as short as possible and make sure you tell him you are late for an appointment, so they understand there could be "issues" if you are unjustly detained.

Answer questions politely and with 1 or 2 word answers.

May I ask you a couple questions? Briefly I am late for an appointment.
Were you in this spa? Yes, but they took longer then expected and now I am late.
What did you do? massage
Do you know this spa is ......? No
Have you ever.....? No
Have you seen/heard.....? No
Who did you see? I don't know