I set up my tax return to direct deposit but that account got closed. My state check was mailed to me but my federal tax return I have no received.

Once the IRS approves and sends your refund via direct deposit, it will fail since the account is closed and in return they will issue you a paper check in the mail. The processing time between the direct deposit failing and them printing and mailing out a paper check can sometimes take several weeks. However, you will still get your refund.

Hope this helps!