I mailed in my CA state tax return back in February and have not received anything back. Is there a way I can opt in for direct deposit to get my refund to me?

No.  After you file your tax return it is too late to change the way you want to receive your refund.  If you mailed it that long ago--did you use a mailing service that tracked it like UPS or certified mail so that you know the state received the return?  Did you mail the return to CA and not to the IRS along with your federal return?  We sometimes see people who mail federal and state returns together to the IRS.  If you did that the IRS would just shred or discard your state return.

Check to see if your state received your return.  You might have to re-send it--if so, use a mailing service to track it. 

To track your state refund:    

https://ttlc.intuit.com/questions/1899433-how-do-i-track-my-state-refund

Check for California Refund

https://www.ftb.ca.gov/refund/index.asp

Mailed.mine this year on 4/9/20. Tracker show it was delivered on 4/28/20. State web site says they have no record 

Click here to contact your state revenue agency to check on your refund.

@kristinaserrano