Yes, you can file the 2020 tax return without filing the 2019 tax return first. Where asked for the 2019 AGI in the File section of the program, so that you can e-file the 2020 tax return, just indicate that the 2019 return was not filed. Or enter a 0 (zero) for the 2019 AGI.
When you mail a tax return, you need to attach any documents showing tax withheld, such as your W-2’s or any 1099’s. Use a mailing service that will track it, such as UPS or certified mail so you will know the IRS/state received the return.
Federal and state returns must be in separate envelopes and they are mailed to different addresses. Read the mailing instructions that print with your tax return carefully so you mail them to the right addresses.
You cannot use the online 2020 program to file the 2019 return so please don't try.