As I'm sure you know, those forms are required to be provided by law since the IRS, the State, and possibly local tax authorities have to match your income statement to the company's statement, via the W-2. This sounds really fishy and I'm guessing it's a small employer. Usually companies that do this kind of thing are in the process of going out of business. First step is to call the HR department or person and request it. If that goes nowhere, here's a good resource from the IRS:
https://www.irs.gov/newsroom/form-w-2-missing-irs-can-help
