By law they could not file a tax return with a check stub. They must have a W-2 in hand.
What they did was estimate a refund using the paycheck stub in order to get you a refund advance. But they can never file a return for you unless you sign for return to be filed which would be a form 8879.
So if a return was not filed with another company then you are free to file any way you wish with any company you choose even if you got an advance through them. Please read the plethora of paperwork that you got for the advance showing exactly what you must do to satisfy the loan. I'm sure that filing through them is not a requirement. If you chose to not get the advance and you walked away and nothing was filed. If something was filed without your permission and assigned 8879 form then you have the basis for a lawsuit. And by law they must give you a complete copy of your return including the 8879 that you signed. So if you did not get a copy of your return and you did not sign an 8879 then you did not file your return.
