TurboTax asks in the File section as to what method you would like to receive your refunds. If you used Direct Deposit for your Federal Refund, it may be likely that you elected to choose the same for your State Refund. It is important to note that the state may take longer to process a refund before issueing it than the IRS.
In addition, there can also be a 5-7 business day processing time for your financial institution to deposit the funds. If you have any questions regarding the delay, you may wish to contact your State Department of Revenue/Taxation, as they would be able to advise of the status (direct deposited or issued by check)