What does it means my state returns are under review?

It means the return is in the system of being processed and some department is looking at it ... nothing you can do until they are done ... if there is a problem you will get a letter in the mail.

Yes, I got letter what could be the problem?  They are asking to send documents. Kindly suggest? What is your contact number to talk with you?

Respond as directed ... send what ever they want promptly. What exactly did they request ?