You should to get the withheld taxes back...but more importantly, you need to have that state withholding stopped ASAP for that former state..and if needed, started for your current state.
Should be a refund in that former sate, so no rush to get that one done today.
Would need a non-resident tax return for that former state...and you would indicate zero income in all fields during that state's non-resident interview. Might need to mail it in since many states will not allow an e-file wit a refund and zero income
__________
Unless you moved to the new state in 2018, and failed to say that.
____________*Answers are correct to the best of my knowledge when posted, but should not be considered to be legal or official tax advice.*