Your tax return is the form you send to the government that shows your income and calculates your tax. The money the government sends back to you is your refund. Do you mean that you do not have a copy of your 2021 tax return, or did not yet file your 2021 tax return, or do you mean that you have not received your 2021 refund?
You can file your 2022 tax return, even if you do not have a copy of your 2021 tax return or did not yet file your 2021 tax return. But it's possible that your 2021 tax return would contain an item that would affect your 2022 tax return, such as a capital loss carryover. If you have any such items, you have to at least complete your 2021 tax return, or have a copy of it, in order to do your 2022 tax return, even if you have not actually filed the 2021 tax return.
