I'll take a crack at this. Claying will remove contaminants from your paint. It could be rail dust on a new car, it could be an old bug splat, it could be whole lot of things.
I was not a believer of the claying process a few years back. Now I definitely am, courtesy of all the good folks here. Claying will remove stuff that a wash will not touch.
Since you are pulling "stuff" out of the paint when you clay, could it mar the surface? Could happen.
The best defense is a good "lube" system for claying. In other words, have some kind of lubrication to suspend the particles, and move them away.
Some manufacturers package clay with a "quick detailer." So, the QD becomes the "lube."
Others favor a very soapy mix of their favorite car wash.
I use a soapy mix of Griot's car wash. It has worked well for me, and since I wash with the stuff, I typically have a lot on hand.
Back to your question. Will claying mar the paint?
It can happen, but is less likely with good technique. The key is that after you clay, or do any detailing step for that matter, closely inspect the finish. What you see will tell you what to do next.
IMHO, you gotta clay. The better the claying, the fewer polish issues you will have.