Do I have to mail it in to w2 in I thought mine was direct deposited

If you e-filed your tax return you do not mail in your W-2 anywhere.  It is all done electronically.

If you e-filed the 2019 tax return then there is nothing for you to mail to the IRS.

A W-2 is the form you receive from your employer to report the wages and federal income taxes withheld which you enter on your tax return.  The W-2 has nothing to do with your tax refund or a direct deposit.