Without knowing which state, it's a little harder to try to interpret the message but it sounds like it is a message related to the processing of the actual refund, and not the return. Are you able to determine that the state has received the return? If so, it is likely still in the processing phase.
It could also be, if your return was only recently accepted that the state database isn't yet recognizing that - some can take a few days to update.
The timing of processing varies widely from state to state.
If you can provide us with the state name, we may be able to provide additional insight and guidance.
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