Was you debit card active or inactive? If it was inactive and the direct deposit was declined by the holder, then the state should issue a paper check and mail it to you at the address on your tax return.
You should try to contact your state to get the details of what happened. Use this link to find your state's web site: https://ttlc.intuit.com/community/refund-status/help/how-do-i-track-my-state-refund/00/25571
