I work for Macy's and I have a debit card that money goes on there every Friday (my paycheck). So will my Macy's federal and state tax return be on my debit card?

Not automatically.  Your tax refunds come from the IRS and your state tax department, not Macys.

You can use your debit card as a "checking account" to get direct deposit of your refunds on the card.  You will need to know the routing number and account number -- these are probably not the face numbers on the card, you may have to check your account online or contact the card issuer.  If you enter the account number and routing number of the debit card as a checking account for direct deposit, your refunds will be paid to the card.