You file your tax return according to your actual status and no one can change that except you. Withholding is a way of estimating how much tax to pay with each paycheck so you are paid up as you go. Withholding is managed by your employer. If your employer is changing your withholding, you need to talk to them.
You may want to submit a new official W-4 to set your withholding. Most states have their own form for state taxes, you can download that form from your state tax web site and submit it to your employer along with your federal W-4.