Could it be they did get your tax return but not the tax due payment? How would they know you owe if you didn't file? Maybe you didn't finish filing it or it Rejected. When you log into your account you should also see the status and if it was Accepted or Rejected, Started, Printed, Ready to Mail, etc. what does it say?
Then when you efile you get back 2 emails. The first email only confirms the transmission. The second email says if the IRS (or state) Accepte.d or Rejected your efile. Check back though your emails if you have them.
Or if you mailed your returns you had to mail federal and state in separate envelopes to different places. Maybe the state got mailed with your federal return.
If the state didn't get it you will have to print and mail it now.