In Mississippi retirement income is not taxable so why didn't I get a refund of taxes withheld

Look at your state return. You may have other income that is taxable to Mississippi and the taxes withheld was applied to other taxable income.

All is retirement income, Soc Sec and 401k

Are you referring to state taxes withheld on your retirement income or federal taxes withheld?

I just went thru a Mississippi return with 401-k and social security income and received my MS withholding. Make sure that your retirement income (entered in the federal return) has the state of Ms on the 1099-R listed.