Filed tax for first time in Canada with turbo tax as nonresident. How do I know if I am getting return as direct deposit or cheque? Who can I contact in the government?

You would receive your refund by cheque unless you specifically set up direct deposit with the Canada Revenue Agency.  In any case, you will need to contact the Canada Revenue Agency in order to inquire about this.  They can be reached at 1 800 959 8281.