If you don't receive a W2, there are 2 scenarios you should consider:
- The final checks should be treated as if they never existed. This means the amount listed as withholding on those checks was never actually paid to the IRS (and state if applicable).
- Even though the final checks bounced, the taxes withheld from them were still paid to the IRS (and state if applicable).
If you have reason to believe that scenario 1 is accurate, then you could file your taxes based on the last valid paycheck you received.
If you have reason to believe that scenario 2 is accurate, then you need to do some extra math, but fortunately it is straight forward. Simply treat your final paychecks as if the gross amount of your check was equal to the sum of your taxes paid, and the net amount of the check is $0. This way your income will increase by the proper amount, and you will still receive credit for the taxes paid. This should work out cleanly for federal and state taxes, but will likely result in an overpayment of FICA taxes. You can use form 843 to receive a refund of excess FICA taxes.
As a side note, I'd recommend spot checking the YTD numbers on your last paychecks against previous paystubs to make sure there wasn't any fuzzy math going on when they realized they were going out of business.