A cover letter does not exist within TurboTax and is not included, since it is typically only required if a return was filed on your behalf by a professional tax preparer. Likely they want the Electronic Postmark, which is included in a copy of your return with All Worksheets included.
On your Tax Timeline under your 2016 taxes you'll see a section that says SOME THINGS YOU CAN DO.
Click the option that says Download all forms and worksheets. Then scroll through the .pdf it downloads and look for the form that says Electronic Postmark-Certification of Electronic Filing. This is the information you'll need to convince them that your return has been filed.
