I clicked efile to submit a W2 for my Employee. Do I need to Submit a separate W3? If so, how do I do this?

No - you don't need to include a W-3 form if you're filing the W-2s online.  You may, however, need to print a copy of the W-3 for  your state.

So, when I efile my W2 for my employee, a W3 with copy A of the W2 are automatically efiled as well?

Form 1096 and W-3 are not required if you e-filed your W-2s.  Copy A is e-filed to the IRS.   You must furnish Copies B, C, and 2 of Form W-2 to your employees by February 1, 2021. You'll meet the furnish requirement if the form is properly addressed and mailed on or before the due date.   @jamesskeen44