Why do you think you should be getting back the state taxes that were withheld on your W-2? Your wages are taxable, but the amount withheld may not be enough to cover the taxes due on them, as well as on your UE comp. TT gives you credit for those withheld taxes against what you owe, but you may still have a balance due. Look at Form 1040, lines 16 (taxes due) and 25 (taxes withheld).
2020 Form 1040 (irs.gov)
