IRS states they did not receive my 2019 return I filed with Turbo tax. How do I get proof?

Does the IRS say they did not receive your return or that you did not pay your 2019 tax due?   Your only proof that you paid would be your own bank or credit card record.  TurboTax never knows when, how or even if you paid the IRS.

As for filing your 2019 return:

What does it say in your account?  Does it say "accepted", "rejected," "ready to mail," or "printed?"   If it says anything other than accepted, the return was not filed unless you put it in an envelope and took it to a mailbox yourself.  If it says accepted then your pdf will show the electronic postmark that it was filed.

If it was not filed, then print, sign, and mail it yourself now.   

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.