If I haven't received a copy of my signed lease 3-4 months after I signed it, can get out of this lease by considering it void?

A contract does not become void simply because you don't have a copy of it.

Isn't it required to by some state laws that the tenant is entitled to have a copy of the lease after signing it?

It might be required by law that your landlord give you a copy of the lease, but if he doesn't it doesn't void the whole agreement. Get a copy, look at the terms, evaluate your situation, and try to get out of it legally. If you tell us your problem we might be able to help, but usually leases are pretty difficult to get out of.

Correct if they don't give you a copy they are merely in violation of that law, I am sorry I don't understand people not getting a copy on the day they sign it, don't landlords have two or three copies, you sign one and they give you another one at the time you sign their copy??

I would not leave a office without one,