We must separate the concept of "refund" from the tax return.
A tax return is a return of information to the IRS about your income, deductions and so on, that is used to calculate the total income tax you owe.
A tax refund is what you get if you paid into the system, more than you owe. All a refund means is that you got a smaller paycheck each week and traded it for a lump sum refund. You gave the IRS an interest-free loan. A $2500 refund means your weekly paychecks were each $50 smaller than they might have been. It's ok to trade a smaller paycheck for a larger refund if that works for you, but not everyone would agree.
Now, when you get married, we can't really tell you what will happen because we don't know all the facts. If your spouse does not work, you will pay less income tax than before, because you will get the larger standard deduction for being married and the tax brackets are a little lower. If you don't change your withholding, that means you will get an even larger refund, because you are having too much tax withheld compared to your lower tax owed.
However, if your spouse does work, then it's impossible to calculate without more information. It is likely that you will get a smaller refund because of how the W-4 system works and the assumptions that are built into the withholding system.
The best thing to do is to get a copy of the W-4 form and fill it out with your prospective spouse--follow all the instructions and worksheets on all 4 pages. Take the answer and you each fill out new W-4s at your jobs based on the single calculation you get together. You can give your jobs new W-4s that show you are married even before the marriage is official.
