Why does Mississippi have no record of my return?

Did you efile the state?  Maybe you didn't finish filing it.  Was your state return Accepted?  Double check your efile status here

https://turbotax.intuit.com/tax-tools/efile-status-lookup  

When you efile you get back 2 emails.  The first email only confirms the transmission.  The second email says if the IRS (or state) Accepted or Rejected your efile.

When you log into your account you should also see the status and if it was Accepted or Rejected, Started, Printed, Ready to Mail, etc.  What does it say for state?

If it didn't go through you can try to efile it again or you will have to print and mail it.  Did you efile federal?  Was it Accepted?