I was told I was under review and to expect a letter but my state was just deposited what does that mean?

If your state return was under review then it appears that they completed it. If you were told your federal return was under review your state return would not be impacted. Your state and federal returns are processed by two separate government entitites. Your federal return is processed by the IRS. Your state return is processed by your state's Department of Revenue. One return does not impact the other.