You may not have finished your State Return and Efiled it.
You should get separate Emails from TurboTax stating that your Federal return was Efiled, and that your State return was Efiled.
If you go through the FILE section again, be sure that you indicated you wanted to file both your returns together.
However, you may want to step through your State Interview and the State Review again to be sure they are complete.
Here's more info on Filing Federal and State Returns Separately.
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