What should I do? I mailed my 2019 taxes in last April, called the IRS many times they said they were behind. Looking at my tax transcripts, it says I never filed.

Just continue to wait.  Try using 0 (zero) as the 2019 AGI to efile 2020.  Per the IRS:

COVID-19 Mail Processing Delays

It’s taking us longer to process mailed documents including:

• Paper tax returns, and
• All tax return related correspondence.

We are processing all mail in the order we received it.

Do not file a second tax return or call the IRS.

Refunds | Internal Revenue Service (irs.gov)

Also see:

IRS Backlog: 2.4 Million 2019 Tax Returns Still In Pipeline (forbes.com)

Normally that would be reason for concern; however, the IRS has a very large backlog of paper filed returns.  They are making progress, but it's slow.  Once they "process" your return, it will show up on the transcript system.  The IRS had a backlog of almost 12 million paper tax returns from individuals and businesses as of Christmas, according to a report from the Treasury Inspector General for Tax Administration.  The IRS says it has made “significant progress” in reducing that logjam. It had 2.4 million individual tax returns received prior to 2021 in the processing pipeline as of March 5, according to the agency.