What do I do if I never filed taxes for last year but lost all my W-2 forms.

[NCperson]

Contact the companies you worked for and obtain copies. 

[DoninGA]

You will need to contact your employers for copies of the 2019 W-2's.

If you cannot obtain the W-2 from your employer, then for a fee you can get a complete copy of a W-2 from the Social Security Administration - https://faq.ssa.gov/en-us/Topic/article/KA-02501

You can get a free Wage and Income transcript from the IRS - https://www.irs.gov/individuals/get-transcript