Did you mail them in the same envelope? If so, then that's why. If you read the instructions that were printed with each tax return, you will see that state taxes get mailed to your state taxing authority, and federal taxes get mailed to the IRS. So if you included both tax returns in one envelope and mail it to the state, you have not filed your federal tax return yet. More than likely when the state received what you mailed them, they just trashed the federal return since the state does not deal with federal taxes - only state taxes.
Good deal! Understand it takes about 3-4 weeks after you mail it, before it's status will be available online. So if it's been at least 4 weeks, check at http://www.irs.gov/refunds.
If nothing, then print it out again, sign and date it, include a copy of your receipt for the originally mailed return to prove you filed on time, and mail it again, also return receipt required.