What do you do if employer says they mailed w2 but really has not?

If you are unable to get the copy of the W-2 form from the payroll department you could contact your local IRS for some assistance with this matter.

Go to www.irs.gov and look at top right side above the search box and choose Contact IRS

This existing answer may address your Q in more detail:

What_do_you_do_if_you_did_not_receive_a_W2_or_a_W-2_form_or_a_1099_form