@JoshMcWilliams As I understand your situation you had no income in Missouri and no need to file a tax return in Missouri but you filed a tax return there showing that you had income in Missouri because your W2 was incorrect. So the return you filed with Missouri showed income and taxes paid on that income and Missouri kept it.
If I have all that right then you need to file a tax return with zero income on it and just the withholding on there. You need to file it by mail and attach a copy of the original W2 and the corrected W2. You should include a letter stating that your employer withheld taxes for Missouri in error and that the attached W2s show that. You should request a return of the original amount paid in.
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