If you did not claim a refund on your tax return, that's because your withholding and other payments was not more than your tax. If you want a refund, you will need to change your withholding to have more taken out each paycheck.
If you claimed a refund that was never paid/deposited, you need to contact your state. Some reasons could include:
1. You didn't file a state return
2. The state kept your refund for other debts
3. The state was unable to pay a refund because your bank information was wrong or you moved and your mailing address is different.
Only you can contact the state and ask for an explanation.
