If Paychex said they don't issue a W-2 form, that must mean that the taxes weren't paid in or if they were they were refunded to the employer. Otherwise, their payroll tax returns would not reconcile. If they paid in taxes for you, then they have to account for that on the year-end W-3 filing that summarizes the W-2 form wages and taxes withheld. So, I suspect the company has the taxes and if so they should refund them to you. You should ask the company what happened to the taxes that were withheld, if they were paid over to the government then they would have to be reported on a W-2 form or 1099 form issued to you.
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