I am on a J1 Intern visa since January 2015 until end of January 2016. My employer paid me each month with a check and I just found out that he didn't withhold any taxes (Federal and State Income Taxes as I am exempt from FICA and FUTA taxes).
Now my sponsor is pushing me to file for a tax refund. I am not on payroll.

Can my employer file a Form-1099 for me? I am not a contractor or freelancer. I am an analyst working in a Hedge Fund.
How am I suppose to file for a tax refund if my employer didn't take out the tax expenses from my check in the first place?

Please help.

Thank you,