"I would even accept a check, but I don't see that option either."
If you do not choose direct deposit and do not enter any banking information, it automatically defaults to mailing you a check. The IRS mails the check to the address on your tax return.
But as @Critter-3 suggested, you can go to Walmart, a drugstore, etc. and just purchase one of those prepaid Mastercards or Visas if you want to and use that.