Prosecute is a word used for criminal proceedings.
Leaving job during training period is not a criminal offence so the company cannot sue you for only leaving the job.
However leaving job midway during training may lead to a breach of contract between you and the employer depending on the terms agreed between you and the employer company.
Usually such agreement may provide a clause for deduction of training stipend if the trainee leaves the training without notice.
You will need to review the agreement you entered into with your employer company.
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